Kovalchuk, 30, opted to sign a four-year deal with SKA St. Petersburg of the KHL and will earn around $15 million per year, including salary and bonuses.
"Ilya decided to take this path and who am I to judge him," Malkin asked Russian media outlet R-Sport. "I support his decision. Ilya wanted to move his family back to Russia. Why not?
"The talk is this can become a trend (for Russian players). But this (situation) is an exception to the (norm)."
Malkin signed an eight-year, $76 million contract extension with the Penguins last month, after agreeing to the deal on June 13, and fully intends on living out the length of that agreement.
"I cannot speak for others, they can speak for themselves," Malkin said, "but at this stage of my life, I am happy to be in the NHL. That's my priority. A lot can happen, but I am comfortable in America.
"I won a Stanley Cup with the Penguins, I've won individual awards. I get a lot of ice time. I have an excellent relationship with my teammates and coaches. Why would I look for something else when I have everything?"
The native of Magnitogorsk, Russia, is a four-time NHL All-Star, the 2006-07 Rookie of the Year, a two-time Art Ross Trophy winner (2008-09, 2011-12), a Conn Smythe Trophy winner (2008-09), an NHL MVP (2011-12) and the recipient of the Ted Lindsay Award (2011-12).
In 31 games with the Penguins this past season, Malkin registered nine goals and 24 assists for 33 points.