Copying software for malware analysis seems like a textbook case of fair use (under U.S. law, anyway). To take the fair use criteria one by one:
Purpose and character of use: The use of the copy is legally transformative, which means that it creates something new, instead of merely attempting to recreate the original. Here, the analysts are producing a malware assessment based on the original software. They're not creating a copy just to have an extra copy; they use the copy to produce something novel. This factor heavily favors the analysts.
Nature of the copied work: The piece of malware is a published, creative work that rightfully enjoys copyright protection. This factor favors the malware authors.
Amount and substantiality: The analysts use the whole software in their analyses. This factor favors the malware authors.
Effect upon work's value: Virtually none, which favors the analysts. In fact, the work has little legitimate market, since its primary use is illegal. (While it may be the case that AV vendors reduce the value of malware by building defenses against it, this is not the same as harm caused by creating a substitute work. Wikipedia sumarizes it aptly: "Courts recognize that certain kinds of market harm do not oppose fair use, such as when a parody or negative review impairs the market of the original work.")
While factors #2 and #3 are in favor of the malware authors, the transformative use of the malware lends tremendous legal weight to the fair use argument in favor of the analysts. Only a judge can make a final ruling on fair use, but I suspect that a reasonable judge would rule in favor of copying malware for analytic purposes.
EDIT: This answer considers the legality of copying from a limited, copyright-only perspective. There are other statutes beyond copyright (e.g., ACTA, DMCA) that may be violated when copying malware or legitimate software without permission from the copyright holder. Even if a use is protected by fair use, the fair use defense protects against copyright infringement only, not other violations that may also occur during (or be necessary for) the act of a fair use.
(For example, you may want to include a few seconds of a movie in a video report for your cinematography class, but your copy of the movie only plays in a proprietary player that does not allow exporting snippets of the film. If you download a tool for circumventing the "no exporting of snippets" restriction of your player, then you have violated the DMCA, even though your ultimate goal was probably fair use.)
In short: the analysts' copyright infringement is probably legally defensible under fair use, but analysts may still be in violation of other statutes that are separate from traditional copyright.