In the present paper we investigate the behavior of polyrotaxanes under bad solvent conditions by means of computer simulations. Polyrotaxanes can be viewed as amphiphilic macromolecules with annealed sequences because the rings can freely move along the backbone. We showed that, depending on the ring inclusion ratio and the rings radius, one can observe various structures. If the rings radius is small (i.e., enough to fit only one monomer unit), in bad solvent we observed the formation of a collapsed core surrounded by long loose tails and loops with an increased ring density. Upon increasing of the backbone solvent incompatibility, the core grows as well as the number of rings located on its surface; the latter leads to a partial screening of the backbone solvent interactions. When the rings are large enough to fit several monomer units, the backbone packs inside the rings, which allows for complete isolation from the solvent. If the number of rings (i.e., the inclusion ratio) is large enough to fit all the monomer units, unimolecular cylindrical micelles are formed in bad solvent. Such micelles are formed by the backbone packed inside the rings that are stacked on "top" of each other. We showed that the transition from the coil to the unimolecular micelle is sensitive to the solubility of the rings: if the rings tend to distribute along the backbone, higher incompatibilities are required for the unimolecular micelles formation compared to the case when the rings tend to form aggregates. In the state of unimolecular micelles the backbone is completely isolated from the solvent, which makes the micelles soluble even at rather high concentrations.