Malcom, 20, has suggested he will be looking for a new club ahead of next season, however, revealing that Bordeaux have "promised" he can leave in the summer, and Bayern are expected to be in for him when the transfer window opens again.
And Heynckes has confirmed the Bundesliga champions and leaders are paying attention to him, along with a few others.
"I do not know the player enough," Heynckes admitted to Sport Bild. "But he's certainly in the focus of our scouting department, like many other players as well. [Sporting director] Hasan Salihamidzic has very clear ideas and is driving forward the plans for next season.
"He knows exactly who is in our sights and which players he would like to have. He has high quality players in mind."
Recent reports have suggested Bayern are in danger of losing one of their star players in the close season, too, as Robert Lewandowski is said to be considering a summer switch to Real Madrid.
And although the Bundesliga has seen some recent high-profile departures after Ousmane Dembele and Pierre-Emerick Aubameyang forced moves from Borussia Dortmund in the last two transfer periods, Heynckes does not see the Poland international leaving in a similar fashion.
"Robert turns 30 in the summer, he has a contract until 2021. Football is short-lived and unreasonable things happen," he added. "[The Dembele and Aubameyang situation] would not happen at Bayern because here it is clear from the outset that Bayern don't do things like that.
"This is an absolute top club, incredibly well run and with a good atmosphere. I cannot imagine a case of Aubameyang or Dembele at Bayern."
Bayern sit 20 points clear of second-placed Schalke after 25 Bundesliga games and host Hamburg in their next game on Saturday.