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I've never seen it before, but I think when OS X detects malware, it alerts you about it's presence and suggests that you delete it. OS X doesn't delete malware automatically ever, I don't think, but if it detects that you have software that's either dangerous (IE, a version of Flash with known vulnerabilities) or outright malware, it'll forbid it from running. In fact, you can set OS X to forbid any non-signed applications from running.
 
Assuming you even have malware which I doubt...download and run clamxav from the App Store, that will identify any nasties and remove them. Personally I have never run an AV package on any Mac and just occasionally I'll run clam just to see....always comes up clean.

It's free, doesn't sit resident in memory and updates are daily.
 
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