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: Travellers 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 travellers can submit their applications and supporting documents online. Once the application is approved, travellers receive their eVisa confirmation electronically. A valid visa is required to board the flight. If the visa is expired or doesn’t match the traveller’s passport information, travellers 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.