The 26-year-old has vowed to leave the French champions this summer and Liverpool, as well as Arsenal, have been linked with a potential move.
Speculation this week had suggested that Reds boss Rafa Benitez was set to swoop for the France winger in a £10million deal.
However Malouda, who is currently with the national team at their Clairefontaine base, insists no deal has been done.
"Liverpool have not approached Lyon," said Malouda.
"It's no more advanced than that."
Malouda also revealed he does not mind which league he plays his football in next season.
"It depends on the desire of the club that wants to sign me," he added.
"People criticise the Italian championship, but an Italian club won the Champions League.
"My wish is that an agreement is reached with interested clubs. I would like it to be done differently, but if it carries on it could go on until June 30.
"(Lyon president Jean-Michel) Aulas is a strong negotiator. For me it's just a question of when."