Germany's Bild daily on Friday quoted Demichelis as saying: "Yes, it's settled. I have said goodbye to the team ... they were seven unforgettable years." The 30-year-old has played little part in coach Louis van Gaal's plans this season.
Bild reported that Bayern would loan Demichelis to Malaga for six months and that the Spanish club would then buy him if it retains its top-flight status for next season.
There was no immediate comment from the German champion.