Danish giants FC Copenhagen tried to sign Olsen, 35, in January.
However, Sweden goalkeeper chose to stay at Aston Villa, where his contract expires in the summer.
Olsen is expected to leave Villa at the end of the season. But FCK is not on his list.
"If I go home to Sweden, it will be Malmö," he said during Thursday's Sweden press conference.
"If it's in that area, it'll be Malmö."
The 35-year-old also explained why he didn't move last winter.
"We have so many positive things to look forward to at the club. When I came to Aston Villa we were at the bottom, and to be part of the journey that we started when Unai (Emery) came in is absolutely incredible. It's fantastic to be a part of it.
"When we have made it this far in the Champions League, have a chance at the FA Cup and a chance to climb in the Premier League, I see absolutely no reason to leave!"
On a return to Malmo, Olsen said: "We'll see how it goes. Now I'm going to try to take the opportunity to enjoy the final matches, the last few months. Then we'll see.
"There's a lot that will work out for me personally but also for the family. I'm keeping it open."