The band addressed the singing sensation as "brother" during its speech at the event, reported Entertainment Weekly.
Malik, 22, announced his departure from the popular group, two months back.
"There's one more person we have to thank and that's our brother Zayn. So thank you very much!" Liam Payne said.
Last week Malik and a One Direction member Louis Tomlinson got embroiled in a Twitter spat, where the singer asked the latter to stop making bitchy comments about him.
