Cannot delete icon on menu bar
Only first-party menu bar apps can be ⌘-dragged off the menu bar. To remove third-party menu bar apps, you should refer to the specific app settings. For Malwarebytes, you can turn off the menu bar app from Malwarebytes preferences → Hide application icon. To properly uninstall Malwarebytes if you no longer want the software, open Malwarebytes, and go to "help" > "uninstall Malwarebytes".