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.