The former star stopper declared: "You never say no to Celtic."
Mjallby will quit as Neil Lennon's assistant when the season ends next week after four trophy-laden years. The giant Swede has admitted that in the short term he has no idea where the next chapter of his footballing life will take him.
But after four campaigns as Lennon's lieutenant, Mjalby admits he would like to be his own man.
The outgoing assistant said: "If I'm a manager and doing well and I was asked, then the answer is that you don't say no to jobs like Celtic.
"You just never know with football what is down the line.
"Four years ago Neil phoned me and asked me to become his No.2 and he said it would probably be for only eight games.
"After the Scottish Cup semi-final defeat by Ross County we thought the board would go elsewhere.
"But they did not and we have had a very successful spell together since then.
"I have been at Celtic for 10 years now, with six as a player and four as assistant, and although I need a new challenge you never know where life will take you."
Mjallby added: "But I would definitely like to try and manage. I've been very happy as assistant, but I'm not ruling anything out for the future."
Mjallby picked out this season's comeback victory over Shakhter Karagandy in the Champions League as a treasured highlight of his time in the dugout.
He said: "We did not play well in the first leg and it was just so important for the club that we qualified for the Champions League.
"When James Forrest got that decisive goal in the last minute, it was just such a special moment.
"But there have been so many great Champions League nights against so many great European teams.
"I have so many happy memories to pick from."
Meanwhile, the departing coach said Celtic will look into striker Anthony Stokes' recent visit to a Belfast bar to decide if he breached club rules.
He added: "We always deal with situations like this. It will be up to the manager and the club to sort that out.
"(Anthony) has been great for us this season and he is a very talented boy, a very good footballer. But obviously now and then he doesn't behave as well off the pitch as he does on it.
"Of course it is disappointing when small things like this happen but we need to look into it and hopefully make the right decision for the club and Stokes.
"We can't look after him 24/7. First and foremost, the most important thing is that (the players) do the right thing on the pitch for the club but it is also important that they behave off the pitch as well and show they are great ambassadors for youngsters, so it is disappointing in that respect."