Olexandr Gladkiy scored Shakhtar's first European goal of the season on 29 minutes before captain Darijo Srna doubled their advantage after the break.
Eduardo netted a third soon after and Alex Teixeira rounded off the rout, but there was still time for Malmo's Kari Arnason to receive a late red card.
"I think Malmo should be glad with conceding only four goals. We had more than 20 attempts and could have scored many more," Lucescu told reporters.
"We have proven football based on combinations and skills – as opposed to Malmo's long balls – can be effective.
"The only disappointment is that two important players, Srna and [Olexandr] Kucher, received yellow cards and will miss the game against [Real] Madrid.
"I'm glad our goalkeeper Anton Kanibolotskiy made his debut in the Champions League. He saved us in the first half and he deserved to play in this tournament."
Shakhtar have moved up to third in Group A following their home win but remain four points adrift of second-placed PSG with two games to play.