You may need an embassy visa for Malaysia if you have a Hong Kong SAR passport

Applicable to Hong Kong SAR Certificate of Identity or Document Identity holders only: Travelers with a Hong Kong SAR Certificate of Identity or Document of Identity need a visa to visit Malaysia for Business or Tourism. A Malaysian eVisa is the fastest and easiest way of obtaining a visa for Malaysia because travelers can submit their applications and supporting documents online. Once the application is approved, travelers receive their eVisa confirmation electronically. A valid visa is required to board the flight. If the visa is expired or doesn’t match the traveler’s passport information, travelers will not be able to board their flight.

You don't need a visa. You can travel to your destination for a limited stay. Be sure to check other entry requirements and how long you can stay for.