Rondon has signed a four-year contract, Russian side Rubin announced on their website.
"The 22-year-old player has a bright future ahead in the Russian league," Malaga added on their official website wishing their former player well.
Rondon's departure comes after Malaga announced last week they were conducting an "internal restructuring" amid reports owner Sheikh Abdullah Bin Nassar Al-Thani, a member of the Qatar royal family, wanted to sell up after only two years.
Midfielder Enzo Maresca confirmed after their 2-0 friendly defeat by Juventus on Saturday that the club had also agreed to sell Spain playmaker Santi Cazorla, whose probable destination is Arsenal.
Maresca also warned that losing coach Manuel Pellegrini, who media reports say is also poised to jump ship as his expensively assembled squad crumbles around him, would be a huge blow.
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