The 18-year-old striker joins the Spanish side until the end of the season and will wear the No.12 shirt, formerly worn by Arsenal star Santi Cazorla at La Rosaleda.
The striker underwent a medical with the Spanish side on Tuesday, and trained with members of the squad who have not traveled for the Copa Del Rey quarterfinal clash with Barcelona on Wednesday night.
Piazon has made two starts for Chelsea this season, both in the Capital One Cup victories over Wolves and Manchester United.
The Brazilian also came on as a substitute in the 8-0 Premier League thrashing of Aston Villa, but missed a penalty late on.
The 18-year-old will wear the Malaga No.12 shirt, formerly worn by Arsenal's Santi Cazorla at La Rosaleda. The Spanish side does not have the option to buy at the end of the loan.
Despite the temporary departure of Piazon, Blues boss Rafa Benitez said on Tuesday there were no plans to recall Romelu Lukaku from his loan spell at West Brom.