"We have intensified joint security patrols in public areas and areas frequented by tourists," said Tajuddin Mohamad Isa, Kuala Lumpur'spolice chief.
Police were also closely coordinating with security teams in hotels and shopping malls, Tajuddin said.
"We are urging people to immediately alert the police if they see or find anything suspicious," he said.
On Sunday, Australia's Department of Foreign Affairs and Trade told its citizens in Malaysia to be vigilant as terrorists may be planning attacks in Kuala Lumpur.
"Attacks could be indiscriminate and may target Western interests or locations frequented by Westerners," it said. "You should be particularly vigilant at this time."
Malaysia has been on high alert since the deadly bomb attacks in neighbouring Indonesia last month.
Malaysia's interior department said there are 137 Malaysians who are fighting alongside Islamic State militants in Syria and Iraq.
Muslim-majority Malaysia has not been subjected to terrorist attacks perpetrated by Islamic State militants.
Police counter-terrorism operatives have arrested more than 100 Malaysians suspected of supporting Islamist militants.
- DPA