Arsenal were offered Malcom - along with Denis Suarez - as a package by Barcelona.
The Sun says Suarez finalised a switch to the Emirates Stadium on Thursday, putting pen to paper on a £2million loan deal which could turn into an £18m permanent switch at the end of the season.
The Spaniard - who was on Manchester City's books as a youngster - was keen to reunite with Unai Emery having played under him on loan at Sevilla, but Malcom didn't make the journey from Catalonia to north London with his teammate.
The Brazilian only signed for Barca from Bordeaux in the summer, but he's failed to make much of impact at the Nou Camp.
And he did appear keen on a switch to join Emery and Suarez at the Emirates, only for the Gunners to baulk at the loan fee involved in getting him on board.