The 20-year-old forward has scored eight Ligue 1 goals this term to emerge as one of the brightest prospects in European football.
Premier League sides Spurs and Arsenal were both strongly rumoured to be keen on signing the Brazilian during the January transfer window, although the Gunners soon backed out of the race and Mauricio Pochettino then dismissed his club's interest .
But Malcom's "dream" move to England did not materialise, he says, because the Ligue 1 side were desperate to keep him for a bit longer.
"I wanted to leave, I tell the truth," Malcom said to Telefoot . "It's my dream to progress in my career.
"I spoke with the president [Stephane Martin], he told me that he knew it was my dream, but that he needed me.
"I told him he could count on me until the end [of the season]. I will do everything to bring Bordeaux to the top six in Ligue 1."
With the Brazilian having scored only one goal since the start of December, Malcom is now setting fresh aims for the rest of the campaign.
"I know I can do better," Malcom said. "I will try to do everything because I like Bordeaux.
"I will give everything until the end to show that I stayed to help and do better."
Bordeaux, who replaced coach Jocelyn Gourvennec with Gustavo Poyet in January, are eighth in Ligue 1 after Saturday's 2-0 win at Strasbourg.