The 19-year-old spoke of his difficulty with the "complicated environment" at Chelsea, insisting that there is a lot of pressure at the Premier League club.
The Brazilian joined the Blues in 2012, but decided to join Malaga after struggling to break into the side due to the variety of options available at Stamford Bridge.
"Coming to Malaga was the best option for me. There is a complicated environment at Chelsea at the moment," Piazon told reporters. "There is a lot of pressure and it's difficult for a young player like me to get in the team.
"Malaga was the best place for me to come because I want to play and have the opportunity to grow as a player. The place is great. It's sunny, if slightly cool at the moment. But I like the food and some of the sights are fantastic.
"Spanish football is a lot like Brazil, and that means I can adapt easier and enjoy my football more."
Piazon made his debut as a substitute in the 4-2 cup defeat to Barcelona.