Malkowski also was getting a visit from South Dakota Gov. Dennis Daugaard on Monday.
Kelsey Pritchard, a spokeswoman for Daugaard, said the governor and state economic development officials were visiting Connecticut on Monday and Tuesday to meet with gun manufacturers.
The biggest obstacle to leaving Connecticut, Malkowski said, is that the company's 200 employees would have to uproot their families.
"That's the hardest part. The employees make up the business," he said.
Colt President and CEO Dennis Veilleux issued a statement saying Perry assured the company it would "always be welcome in Texas."
Malloy made an unannounced visit to the Texas governor's meeting in Hartford, where he welcomed Perry to Connecticut. He said the gun issue is particularly sharp here because of the school shootings.
"I don't think he understands that kind of loss and how it's affected people in our state," Malloy said.
Legislation enacted in April adds more than 100 firearms to the state's assault weapons ban and outlaws the sale of magazines capable of holding more than 10 rounds of ammunition.
Perry said taxes and regulations are factors in decisions not only by gun manufacturers, but by pharmaceutical companies, financial firms and other businesses about where to locate.
Malloy sought to blunt Perry's thrust on jobs and industry. Connecticut's governor has made economic development a signature issue since taking office in January 2011, establishing a program consolidating tax credits to draw large employers and pushing for legislation promoting small business and bioscience jobs.
"We compete for every job, and we're doing a pretty good job at it," he said.
Perry also has made similar pitches in other states. He sought to talk up Texas for jobs in California's high tech, biotechnology, financial, insurance and film industries and urged Illinois employers to leave the state "while there's still time."
Associated Press writers Susan Haigh in Hartford and John Christoffersen in New Haven contributed to this report.