Born in Paris, Malsa passed the youth ranks of FC Sochaux-Montbéliard. He made his full debut at 8 February 2014 in a 2–0 away defeat against Lille.[3] Two weeks later he featured again in a league game against Valenciennes, which ended into a 2–2 draw.[4]
On 23 July 2018, Malsa was loaned to Segunda División side Albacete Balompié, for one year.[7] On 3 September of the following year, he joined fellow league team CD Mirandés on a permanent one-year deal.[8]
On 22 July 2020, Malsa agreed to a four-year contract with La Liga side Levante UD.[9] He made his debut in the category on 27 September, in a 3–1 away win over CA Osasuna, and scored his first goal in the top tier the following 18 April, but in a 5–1 home loss against Villarreal CF.