After last year's Brexit vote for Britain to leave the EU, he told Der Spiegel that "you can almost put any two letters in front of the word exit", suggesting any of the other 27 member states could be next.
In early excerpts of an interview to be published in full Saturday, Malloch also predicted "seismic shifts" in US-European relations under Trump.
He said Trump preferred to deal bilaterally with European countries rather than the bloc as whole, adding that "frankly, this also gives us the upper hand".
He also reiterated his view that the European common currency was a mistake and that, if he were working for an investment bank, he would "bet against the euro".
European Parliament leaders on Thursday urged the EU to reject Malloch if he is named Trump's ambassador to Brussels, calling him hostile to the bloc.
The leaders of the main parliamentary groups said Malloch, whom they called Trump's likely choice, has openly backed the dissolution of the European Union much like the collapse of the Soviet Union.
"These statements reveal outrageous malevolence regarding the values that define this European Union," they wrote.
Trump himself called Brexit "a great thing" last month and predicted that other countries would follow Britain out of the bloc.