The French winger told RMC that he would prefer a move to the Brazilian league, rather than a return to his native country.
He said: "I don't envisage a return to France. I would like to discover another country, notably Brazil."
However, Malouda did confirm that he has held talks with Paris Saint-Germain coach Carlo Ancelotti.
"To sign with PSG? I have talked to Ancelotti, but I don't know if it's possible," he said.
Despite believing that he has no has no long-term future at Stamford Bridge, Malouda pledged his support to the France national team, admitting that he would be "disappointed" not to make the squad for Euro 2012.