The striker was attempting to keep hold of possession inside Saint-Etienne's penalty area as he caught Malcuit with a flailing arm.
However, referee Pavel Kralovec only deemed the incident worthy of a yellow card, much to the relief of Martial and United.
Play was delayed for a number of minutes as Malcuit received treatment but the defender was fit enough to play the remainder of the clash at Old Trafford.
Martial impressed throughout as United earned a 3-0 victory over Saint-Etienne, seizing the advantage in the tie ahead of the second leg in France on 23 February.
Zlatan Ibrahimovic opened the scoring in the first half courtesy of a free-kick which took a deflection off Vincent Pajot en route to goal.
And the Swede scored two more after the interval to increase his record to 17 goals in 14 games in all competitions against Christophe Galtier's side.