Malouda has just one year left on his contract at the club, and was left out of Roberto Di Matteo's squad for their Champions League group matches yesterday.
The France international took to Twitter to break the news, posting a photo of the headquarters of their Under-21 squad, accompanied by the message: "This is where I'll train for my last season with the blues !!!"
Malouda is thought to have fallen out of favour with Di Matteo having not secured a move away from the club during the summer.
The 32-year-old joined Chelsea in 2007, and has since made 220 appearance for the Blues, scoring 45 goals.