Malcom has not played since Zenit's 2-0 win over Dinamo Moscow on August 10.
Malcom said he is dealing with a "very delicate and sensitive injury" as the Zenit star addressed his prolonged absence from the Russian giants.
A €45million signing from Barcelona, Malcom has only featured twice since swapping the LaLiga champions for Zenit.
Brazilian forward Malcom has not played since Zenit's 2-0 win over Dinamo Moscow in the Russian Premier League on August 10.
"I have a very delicate and sensitive injury," the 22-year-old said in quotes attributed to the club.
"It seems that it hurts one day or two and then I don't feel pain, but when I shoot with a little more strength it hurts me again.
"The fans of the club shouldn't worry, [as] my recovery will be very fast and I will play again as soon as possible to give them joy.
"When I return, I will do my best as always. I want to play in the Champions League with Zenit."
While Malcom is dealing with an injury, Zenit are fighting for championship honours in Russia and competing in the Champions League.
Defending champions Zenit have only lost two of their opening 11 games to be fifth and two points adrift of leaders CSKA Moscow.
Zenit also beat Benfica 3-1 on Wednesday to be top of Group G in the Champions League after two matchdays.