Adilur Rahman Khan, secretary of the rights group Odhikar, was detained after arriving at Kuala Lumpur International Airport early today, activists said.
He was due to speak at a two-day conference organised by the Anti-Death Penalty Asia Network.
Rights group Voice of the Malaysian People (Suaram) said Khan was being kept incommunicado at the airport's immigration lock-up and appealed for his release.
"Suaram calls for his immediate release and demand that the immigration department stop its persistent harassment against human rights defenders visiting Malaysia," it said in a statement.
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Malaysia often denies foreign pro-democracy activists entry into the country without giving explanation.
The Asian Human Rights Commission urged the international human rights community "to immediately intervene in this case, and secure Khan's release from arbitrary detention".
The commission said it was worried that the detention of Khan, his country's former deputy attorney general, "is the result of collusion between governments in Bangladesh and Malaysia".
In the past, Khan's group has been critical of human rights violations allegedly committed by Bangladeshi security forces, including torture and extra judicial killings.
Malaysia has also denied Khan a lawyer and the right to speak to anyone, the group said.