The 25-year-old forward and regular-season scoring king for Pittsburgh Penguins this season scored twice in the first period against reigning world champion Finland and completed a hat trick in the second period.
The crowd threw red hats on the ice to celebrate the three goals.
"I have never experienced such things," Malkin said. "It was fantastic to see."
Russia will face Slovakia in the final after the Slovaks beat the Czech Republic 3-1.
Finland opened the scoring when defender Janne Niskalas deflected a blue-line shot at 7:28, but Malkin evened the score at 15:33 shooting through a crowd, and he connected from the slot at 19:06 on a power play. Alex Ovechkin made it 3-1, and Malkin's hard slapshot found the far corner at 17:46 in the second period
In the third period, Denis Kokarev, and Sergei Shirokov increased the lead to 6-1. Mikael Granlund scored Finland's second goal with four minutes left.
Before Malkin's third goal, he lost his balance and smashed into the board charged by Finnish defender Joonas Jarvinen. The Finn went out for tripping, but Malkin went down after slipping. The Russian star disappeared for treatment, but came back after some six minutes, losing four or five shifts in the process.
"I was lucky, I was going at high speed and could not evade the contact," Malkin said. "But our doctor gave my hand some freezing treatment, and I could continue."