The assistant to Neil Lennon at Celtic announced last week he is to quit his Parkhead post at the end of the season.
He has been strongly linked with a return to former club AIK Stockholm and it was assumed he was returning to Sweden for family reasons. But Mjallby believes he could go anywhere to become a manager. "Many believed the reason I was leaving was to return home, but it is not the truth," he said.
"My kids are old enough now, but it has worked well here in Scotland because I have always found the time to go home and take a few days off when we had the international break. I just want to try something different after 10 years of my life here in Glasgow. I have a few weeks to sort out what I want to do, but I have absolutely not decided that I will work in Sweden."
And Mjallby insisted he made the decision on his own. "I had to be strong enough to take a decision which will help me develop," he said.
"It was me who made the decision. I need to change my environment to develop. AIK Stockholm will always be special to me, but they have chosen other people to manage them and rightly so. But as soon as I announced I was leaving Celtic, people assumed I would go there even though they have good people in their management team. It is not true and makes me angry."