The two actors were in San Diego to offer an early look at DreamWorks Animation's Penguins Of Madagascar, a sequel to 2012's Madagascar 3.
They revealed they had only just met one day earlier. Each did their voice-recording sessions alone in a sound booth while making the film.
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"I was really gutted about that, because I was really looking forward to working with the penguins and John," said Cumberbatch, who drew screams from the audience every time he spoke.
"That's the hardest thing: You don't have the usual camaraderie which you do in most other mediums."
He called Malkovich "a legend of acting" and an "extraordinarily brilliant man".
Cumberbatch plays a wolf in the film - a super spy who runs an organisation called the North Wind, which protects animal welfare. The Sherlock star joked that he went undercover to prepare for the role.
"I worked in Yellowstone Park as a wolf for a while," he said. "It got a bit hairy when, no pun intended, when I became the alpha male."
Malkovich plays the villain, an evil scientist octopus named Dave, whom Malkovich said looks like his youngest sister.
"She's going to have to learn about this," he said. "I didn't even call her before."