The 23-year-old Malinga became the fifth man in the history of the World Cup to take a hat-trick.
"I am happy to take those wickets but we have lost," said Malinga, the bleach-blond bowler with the distinctive slingy action.
"I felt good and I thought we might pinch it. But 209 was not enough to defend."
World Cup hat-tricks (player, team, opponents, venue, date, wickets):
Chetan Sharma India v New Zealand Nagpur 31/10/1987
K Rutherford bowled; I Smith bowled; E Chatfield bowled
Saqlain Mushtaq Pakistan v Zimbabwe The Oval 11/06/1999
H Olonga st Moin Khan; A Huckle st Moin Khan; M Mbangwa lbw
Chaminda Vaas Sri Lanka v Bangladesh Pietermaritzburg 14/02/2003
H Sarkar bowled; M Ashraful caught & bowled; E Haque c Jayawardene
Brett Lee Australia v Kenya Durban 15/03/