Ross Barkley and Olivier Giroud scored for Chelsea in Sweden, with Anders Christiansen pulling one back for Malmo in the 80th minute.
The second leg is at Stamford Bridge on 21 February.
“I am happy because we played with a very good level of confidence,” Sarri said.
“It wasn’t really very easy after the last match. But today we were confident because we moved the ball also inside our box.
“So I think we played very well. We risked only on set-pieces, because they are more physical than us. We could have scored more, I think. But we conceded a goal on a mistake. Today, the level of application and attention was good. We made a mistake, I think, a material mistake. So it could have been better.
“Better because we had three or four goal opportunities when it was 2-0, so we could have killed the match. But I am happy with the confidence. It wasn’t easy to play with this confidence after the last match.”