The Sexual Independence arts festival, held annually since 2008, was banned by authorities for allegedly threatening public order.
Organizers said the event aims to educate and promote freedom of sexual orientation and gender identity in Malaysia, which currently outlaws same-sex relations.
On Tuesday, Anwar said he supported the movement's right to free expression, and criticised the "extreme policing" methods used to clamp down on the event.
"Can't we talk about things in this country?" he was quoted as saying by the Malaysian Insider online news portal.
Organizers had also expressed regret that their right to conduct peaceful forums, workshops and performances was being restricted.
"The intimidating displays of hatred and ignorance towards us and calls for us to be shut down demonstrate why we absolutely need a safe space and event like Sexual Independence," they said.//DPA