The 21-year-old left-back, who joined the Cherries from Wolves last July, will sign a three-year contract later this week.
Lions boss Kenny Jackett told the club's official website: "Scott will give us an option and some freshness down the left-hand side.
"He can play left-back and wide left and has a good assist record as well as the goals he scores."
Malone's eye for goal saw him notch six times in 37 appearances for the Cherries last season.
He added: "I'm delighted to have the chance to prove myself in the Championship with Millwall and my aim to is to keep scoring a few goals."