Bordeaux Front Office
Thierry Henry was previously linked with the Aston Villa job.
Theirry Henry most recently was an assistant with Belgium.
Malcom agreed a five-year deal to move to the Camp Nou, with a release clause expected to be fixed at €400m.
Arsene Wenger has identified Malcom as his preferred replacement for Alexis Sanchez.
Bordeaux are demanding a fee of €50m and would prefer to retain Malcom until the end of the season.