Marc Skinner's side are on course to clinch a Champions League spot next season and, of course, have another Adobe FA Cup final to look forward to, with the Blues providing the opposition at Wembley on that occasion too.
Malard worked under Chelsea boss Sonia Bompastor at Lyon and has some key words of advice for her team-mates, ahead of the 20:15 BST kick-off.
"Their coach was, of course, my coach before, so I know her very well," Malard explained to our official programme for the midweek encounter.
"The staff too [at Chelsea]. They're very good staff but I think we can win this game.