It is something that they do yes, generally it can be partly controlled by setting AI Tendency to build Malls to a lower or higher level.
In general they will tend to build malls in empty areas outside the city core because:
- Malls are really big and it can be difficult to find enough space in the city core to build one
- The land is cheaper outside the core
- Malls can have very high traffic even when out in a remote location
- Also stuff tends to develop around a mall over time, increasing the traffic and land value