Immigration Department Director General Mustafa Ibrahim said he hoped to quickly deport the five-member group, which was in the country as part of a Southeast Asian tour.
"Members of the band from Australia were arrested for performing without a valid permit," Mustafa told AFP.
"I want to release them as soon as possible and send them back home. I do not want the news of their arrest to go viral."
"Weirdest part is some of the immigration officers asked us to autograph stuff & one is wearing a prom queen shirt. Still locking us up tho," he tweeted.
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He also made an apparent reference to the Paris terrorist attacks, in which scores of people were killed at a concert hall where Eagles of Death Metal, a US rock band, were performing.
"Things could definitely be worse and our situation pales to other recent events," he tweeted, adding that he and his bandmates were being treated well.
Mustafa said he was awaiting a briefing on the case and was unsure when the group may be deported.
Metalcore is a fusion of hardcore punk and heavy metal.
The group features prominently on the Australian live music scene and has toured the United States and Japan.
Foreign musical acts deemed to offend Islamic sensibilities regularly run into difficulties in Muslim-majority Malaysia.
In 2013, authorities pulled the plug on a planned concert by US heavy metal group Lamb of God after Islamic authorities declared its music religiously offensive.
American R&B singer Erykah Badu had a concert cancelled by authorities in 2012 after a photo appeared showing her with the Arabic word for "Allah" painted on her body.