The Frenchman is suspected of fleeing France weeks after the 9 January supermarket siege.
In all, 17 people were killed in three days of Islamist violence in Paris.
Spain`s interior ministry said two other suspects from Serbia and Montenegro were detained during the raid on a building in the Rincon de la Victoria area of Malaga.
The French suspect was said to have had ties to Serbs who may have provided him with arms and ammunition.
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