Malcolm is not particularly open about things like this. Mostly because he's kind of awkward when it comes to this stuff. Surely Roxy can tell that, which is why he thinks she's asking him that question on purpose.

"W-What?" He asks, his cheeks tinged pink. "Chloe Decker? She has a boyfriend at home."

A boyfriend who happens to be the actual Devil. Not that Malcolm would try to break up a couple anyway, but he's definitely not breaking up a couple where one half of it is the Devil.