Since the middle part of the season, it has been reported that Malcom is attracting interest from a number of top European clubs, with Bayern, Arsenal and Tottenham Hotspur all said to be monitoring the progress of the 21-year-old.
However, Heynckes has insisted that Bayern will not be making an approach for the highly-rated attacker during the summer transfer window.
The Bayern manager told a media conference: "I have never seen him play, therefore, I am not able give an opinion on him.
"I don't think there is interest here. He always gets put into the shopping window but nobody really goes after him."
Malcom has contributed eight goals and six assists in 27 Ligue 1 outings during the current campaign.