Malen and fellow January signing Andres Garcia failed to make the final cut.
Emery said of Malen: "It was not easy, the conversation with him.
"It is not fair but the rules pushed us to take the decision and I explained to him why we took it. Of course, he accepted but it is not easy for him to be with us now and not playing in the Champions League.
"But we have other objectives, the FA Cup and also the Premier League as a priority. We needed to take the decision in the Champions League for the rules, in the window we did more than we wanted.
"How we are now in the squad with some centre-backs not being available and being injured, I spoke with him and tried to be honest and knowing it was not fair for him. But the necessity decision I had to take was in that direction.
"Today he was training well and of course he is going to play hopefully for a long time here and hopefully in the Champions League for the next years."