Davis was dumped for half-back Tyson Goldsack after a third disappointing grand final, and he has not even been named as an emergency for Saturday's replay.
However, the 29-year-old was upbeat at training on Friday morning and Malthouse said Davis would take his bags to the MCG on Saturday, adding that "strange things happen.
"Right now we're very satisfied with the 25 we picked, but the lads that have been training for the four weeks, as far as I'm concerned they take their bags along just in case," Malthouse said from the Westpac Centre on Friday.
"Who knows? It probably won't happen, but strange things happen."
Collingwood's full squad of 31 available players - including emergencies Tarkyn Lockyer, Simon Prestigiacomo and John McCarthy - trained at Gosch's Paddock on Friday morning in front of several thousand supporters.
Malthouse said Goldsack, who was part of the Pies' preliminary final team, would give the side more defensive options, a decisions that Davis, who had six possessions, one goal and two tackles last Saturday, had accepted.
"There's been very few players, if any, this year that haven't accepted the judgment of the match committee, so [he took it] very good," Malthouse said.
"You saw the way he trained.
"I just thought we needed a little bit more coverage; we'd just always be caught that one defender short.
"'Goldy' was stiff two weeks ago to come out of the side; it was more a reflection of what we wanted to do structurally. We've altered that marginally now [and] he comes back in."
After failing to capitalise on a significant 62-35 advantage in forward entries last Saturday, Malthouse said the Magpies would address how they move the ball forward against the Saints.
The coach said his forwards needed to be much better in the air but added that his side's structure would remain unaltered.
"We've almost gone 40-odd weeks playing the structures that we're very, very comfortable with," he said.
"We are not going to change the structures that have been put in place.
"Some of the strategies, they will be changed marginally, simply because they are addressed weekly … and we're not silly enough to say that every strategy you come across is successful."
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