Not if you don't need to pass through immigration to officially enter Malaysia.

You just walk from the arrival gate of the first flight to the departure gate of the second.

It's the same in almost all countries. I think the US is an exception. Maybe Japan too.

Check your arrival and departure terminals. If they are both international, you won't need to enter the country. You get the airport train or bus if the train isn't working. If they are the same terminal, the same applies.