Hi! The answer to your question is yes...but also no. Yes, they mean the same thing if you are leaving for the mall when you say the sentence. You can then use them interchangeably in this case. However, we don't use "off to" with plans for the future. For instance, you can say, "We're going to the mall tonight." But you wouldn't generally say, "We're off to the mall tonight." (A weird exception is that you can do this with big trips/travel plans. For example, "We're off to France tomorrow!" is totally normal. But you wouldn't say, "We're off to the grocery store tomorrow!")

Hi Juan Camilo! "We are going to" could also be used in the Present Continuous Form- "We are going to the mall now, do you wanna come?", which means the same as "Ok, we are off to the mall now! Do you wanna come?" Both sound natural and you could use either of them. It looks like you are very keen on learning English the natural way, it's quite impressive to see a learner like you! I offer English Speaking lessons specifically designed to sound effortless and natural while speaking the English language. If you like, please take a look at my teaching profile and let me know if could be of any help to you. All the best!