Sorry to say that there is not much in Malmo. There is a club called The Wonk, which I believe is only open on Saturdays: http://www.wonk.se/
I looked into it once, but did not wind up going. I will ask my friend in CPH if he has any insight.
There are a few other clubs listed in other places, but not sure how accurate the info is:
- SLM Malmö, Ystadsgatan 13 (fetish club Saturdays and Wednesday or Friday)
- G-bar at Mando, Skomakaregatan 2 (mixed bar Wednesdays)
Even though Sweden is very accepting, there is a small gay scene, even in Stockholm. The gay folks have largely assimilated into the mainstream...