If the bugs are still alive, they can get into the rest of your house. I had pantry moths get into my house from some grain; they got into all the cereal, flour, DME, etc in the house beside the grain.
I store all my grain in plastic buckets with tight lids now. If I see bugs in a particular lot, I get some dry ice and toss a good bit on top of the grain, with the lid loose. Next day, I snap it tight. Since CO2 is heavier than air, I figure it displaces the O2 and I'm consigning the bugs to the happy grain bin in heaven. CO2 has the added benefit of being not toxic to me.
PS: Even if there aren't live bugs in malt, there are bug parts and probably the aforementioned rat hairs and feces. It's all good in the boil, as others have said.