In a statement on their website on Friday, the Balearic Islands club, who are in administration, said they had decided not to appeal the UEFA ruling at the Swiss-based Court of Arbitration for Sport (CAS).
The statement said that according to Spanish law, UEFA instead had to justify its decision to withdraw the club's licence with the court in Palma de Mallorca overseeing the club's administration.
Otherwise, Mallorca would sue the Swiss-based organisation in courts in Spain and Switzerland "to demand liabilities and damages that this unilateral UEFA decision has caused".
UEFA had "clearly infringed Spanish legal norms", the statement concluded.
Part-owned by tennis world number one and island native Rafa Nadal, Mallorca finished fifth in La Liga last campaign and qualified for the Europa League, the continent's second-tier club competition.
However, financial difficulties had forced them into voluntary administration earlier in the year and UEFA ruled last month they could not take up their place in the competition.
Their licence had not been correctly awarded and the club "did not sufficiently fulfil its financial obligations".
Mallorca have said the decision will disrupt efforts to get their finances in order as they will miss out on revenue that was earmarked to pay creditors.
Their place in the Europa League has provisionally been taken by La Liga rivals Villarreal, who were drawn on Friday to play Dnepr Mogilev of Belarus in the play-offs.
