“I am the Lord, I change not,” describes Yahweh’s nature. Because of this quality, his covenants with Israel remain available. Despite Israel’s disobedience, “ye sons of Jacob are not consumed” because Yahweh honors his covenant.
Malachi accused wayward Israel of improperly performing the ordinances (“ye are gone away from mine ordinances”) for at least two generations (“even from the days of your fathers). This is why the priests must be purified (vv. 3–4).
“Return unto me and I will return unto you,” Yahweh promises. He is ready to fulfill his part of the covenant relationship. The language results from the literary parallel and should not be construed as a theological statement that Yahweh has departed. He has not. The metaphor, however, communicates beautifully that, as the people turn to God with pure hearts, God turns to them as their protector and king.