Thats disappointing. After visiting, I found I really enjoyed both Sweden and Norway, and wouldn't mind moving there someday. Sounds like that may be difficult.
That said, you get advantage of being right next to Copenhagen. It is a big market of jobs there. Salaries are high because it is a big, crowded city with high living expenses. So you could live in Malmö for cheap and commute to Copenhagen for work.
All that said, as a 26 year old, I managed to take a gap year in Malmö now, after working/saving for 4 years, while managing to keep paying my mortgage, owning a car etc.