The 43-year-old Swede recently confirmed that he would be leaving his role with the Scottish champions at the end of the season following four years with the club.
Despite being linked with a return to his home country, Mjallby insists that he has not made any plans regarding his future.
"Many believed the reason I was leaving was to return home but it is not the truth," he told the Daily Record.
"My kids are old enough now and it has worked well here in Scotland because I have always found the time to go home and take a few days off when we had the international break.
"That has nothing to do with my decision. I just want to try something different after 10 years of my life here in Glasgow."
Mjallby spent nine years as a player with AIK before continuing his career with Celtic in 1998.