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](https://forums.malwarebytes.com/topic/206483-uninstall/?do=findComment&comment=1149862). To properly uninstall Malwarebytes if you no longer want the software, [run the uninstaller on the DMG](https://forums.malwarebytes.com/topic/206483-uninstall/?do=findComment&comment=1148406).