He said other countries could be spared if they can convince the administration that their steel and aluminum exports don't threaten American industry.
If the European Union is hit with tariffs, it will be ready to respond within 90 days as prescribed by the World Trade Organization, Malmstrom said.
The EU's top trade official said Friday that "dialogue" with Washington was the bloc's "prime option" as it seeks to win exemptions from US President Donald Trump's controversial new steel and aluminium tariffs..
Trump announced Thursday that he was slapping tariffs of 25 percent on imported steel and 10 percent on aluminum, but he temporarily exempted big steel producers Canada and Mexico - provided they agree to renegotiate a North American trade deal to his satisfaction.
In response to the steel measure, the European Union is targeting 2.8 billion euros ($3.5 billion) of imports of USA goods including Harley-Davidson Inc. motorcycles, Levi Strauss & Co. jeans and bourbon whiskey.
If no exemption is won, the European Union announced on Wednesday it plans to retaliate with taxes on bourbon, peanut butter, cranberries, orange juice and steel and aluminum products. He said he hoped for greater clarity when US Trade Representative Robert Lighthizer visits Brussels on Saturday for long-planned talks that are now a de facto crisis meeting.
"We share the concern of overcapacity in the steel sector", Ms Malmström told a conference in Brussels.
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"Everything you have for breakfast", Malmstroem said.
Trump imposed the tariffs despite pleas from friends and allies who warned the new measure could ignite a trade war.
"We are looking at the option to be excluded from those higher tariffs.
We are discussing with other allies, other partners to do it together", the EC vice-president said.
The EU exports around five billion euros' ($4 billion) worth of steel and a billion euros' worth of aluminium to the United States each year, and the European Commission, the bloc's executive arm, estimates Trump's tariffs could cost some 2.8 billion euros. "We can not possibly be a threat to national security in the US", Ms Malmstrom said.
The EU exported about 5.5 million tons of steel to the US past year.
"The loss of exports to the US, combined with an expected massive import surge in the EU could cost tens of thousands of jobs in the EU steel industry and related sectors", said Axel Eggert, director general of EUROFER, the European steel association.