The Frenchman was banished to the youth team after refusing to leave in January.
But Malouda, 32, wrote on his website: "It's been a real pleasure and an honor to wear the blue shirt for 5 years.
"Coming from Lyon after four successful years with as many champion titles, it was a real challenge to sign for Chelsea FC with the ambition to succeed in the best league in the world: the English Premier League.
"One of the main reason why I decided to sign for this club was to win the European Champions League and I couldn't imagine a better scenario than winning the best club trophy in the world for my last Chelsea game.
"Over the five years I've defended the club's colors, I've really enjoyed the great moments I lived amongst players and technical staff with the aim to deserve the daily support from our loyal fans, and I always tried to make them proud.
"Every good thing must come to an end, and even if I had to wait for a whole season at the club's academy, I'm very proud of all my achievements as a Chelsea player.
"I'm free now to carry on my career, so I wish all the best to all my blue friends; I'll always support Chelsea FC."