The band expressed frustration because it believed authorities had not studied the content and meaning of its songs carefully enough.
Lamb of God had been scheduled to perform at a concert hall in Kuala Lumpur, Malaysia's largest city, on September 28.
But the Communications and Multimedia Ministry said late yesterday it would not issue a permit because the performance could infringe on Malaysia's religious sensitivities and cultural values.
The decision comes after the government-run Department of Islamic Development last week said the group's work could lead Muslims astray, partly because the band has been known to mix excerpts from the Quran, Islam's holy book, with heavy metal music.
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"It is very evident (and a bit frustrating) that the groups, parties and powers that have taken the most offence to our music and lyrics, have themselves only made a passing glance at the content and meanings of those songs," the statement said, adding that more than 1,500 tickets had been sold in Malaysia.
Lamb of God is the second prominent American act in less than two years to run afoul of Malaysian authorities for religious reasons.
Lamb of God, from Richmond, Virginia, has had three albums that reached the top ten of the US Billboard 200 chart.