As of 1 of September 2019 the Embassy of Denmark in Kuala Lumpur will no longer handle applications for visas to Sweden.
Those who want to apply for a visa to Sweden should contact the Embassy of Sweden in Bangkok.
Malaysian citizens do not need visas for short visits to Sweden, i.e. not longer than 90 days.
Third country citizens are always eligible to apply for a visa to Sweden in their country of citizenship, provided that Sweden has an Embassy in that country competent to handle visa matters.