Rome, Paris, Los Angeles and Budapest are the cities hoping to stage the Games in eight years' time. But the Italian capital now looks to be out of contention after an unequivocal 'No' by the city's new mayor, Virginia Raggi, was delivered on Wednesday.
Malago refuted Raggi's argument that the Eternal City, rocked by a scandal last year which revealed the extent of mafia involvement in city building projects under former mayor Ignazio Marino, could ill afford to be burdened with the financial costs of holding an Olympics.
'It was possible to do this well'
Malago, who is now expected to turn to Italian Prime Minister Matteo Renzi for continued support of Roma2024, says he won't give up hope until the bid is dead and buried.
"Hearing 'no' hurts. I'm very sorry. It was possible to do this, and do it well," he said. "We will continue (with the bid) until I hear a formal no."
Yet the Italian Olympic Committee (CONI) chief now faces a huge task if he is to turn momentum around.
Raggi is the first female mayor of Rome and, after years of mismanagement of the Eternal City, hosting an Olympics is not top of her list of priorities.
She highlighted the spiralling deficits of former host cities and, in a reference to the building work that would be required, said she opposed another "concrete Olympics".
"The debts related to the Torino winter Games in 2006 are still ongoing. I say no to another concrete Olympics," she said. "We are effectively asking the people of Rome and of Italy to shoulder the debts (accrued by hosting the Games). We just don't support it.
"Sport was an integral part of our electoral campaign, but we don't want it to be used as a pretext to a building spree around the city."
The Sochi winter Games in 2014 spiralled to over $51 billion (45.6bn euros). Malago has maintained a Rome Olympics would cost a fraction of that, claiming the estimated 5.3bn euro budget would come exclusively from the Olympic Committee, sponsors and state coffers.
"The estimate of our costs were a tenth of what Sochi cost," said Malago. He also claimed Raggi had crucially failed to understand the changes to the Olympic movement that would have helped Rome curb spending.
'The rules have changed'
In a bid to ease the financial burden on host cities, notably thanks to a 'significant financial contribution from the IOC', the International Olympic Committee launched 'Olympic Agenda 2020' - described as a 'strategic roadmap for the Olympic movement'.
Malago added: "We were candidates because the rules of the game had changed. I'm sorry that Raggi didn't remember this. This is a crucial point.
"If Agenda 2020 didn't exist, no Italian city could even consider becoming a candidate. We were ready to review everything, prepared to hold a referendum, we were ready to change."