Security has been tightened at all entry points in the country following the killing of Kim Jong-nam, the estranged elder half-brother of North Korean leader Kim Jong-un, on Monday.
The two countries opened embassies in each other's capital cities in 2003, and Malaysians are now allowed to travel to North Korea without a visa.
Kim Jong Nam, 45, was preparing to fly to his home in Macau from Kuala Lumpur on Monday morning when he was attacked and poisoned by two women at Terminal 2 of the global airport, authorities said.
Zahid said police acted swiftly and efficiently. Both women have been remanded in custody for seven days pending further investigations.
Police say he is not believed to have been directly involved or a suspect, despite reports identifying him as a "third suspect", but that he had provided information which had led to the arrest of Aishah.
He had said he had no political ambitions, although he was publicly critical of the North Korean regime and was quoted in Japanese media as saying he opposed dynastic succession in North Korea.
While Kim Jong Un abhors the Chinese leadership's meddling in North Korean affairs, Kim Jong Nam was once highly valued by Beijing.
Selangor state police chief Commissioner Abdul Samah Mat said no request had been received and an official at the morgue said they had no indication of who would claim the body.
He did not reveal though how South Korea knew about it. Kim then headed to a counter at the airport to ask for help and was taken to an airport clinic.
The two women arrested were identified using surveillance videos from the airport, but it was not immediately clear if they are believed to be the actual assassins.
"One aspect of this continuous process is that so-called "side branches" of the Kim family are sent into exile or killed, occasionally one followed by the other".
Indonesian diplomats met the woman arrested on Thursday and confirmed that she was an Indonesian citizen originally from Serang in Banten, a province that neighbours the Indonesian capital, Jakarta.
The suspect arrested on Wednesday had Vietnamese travel documents bearing the name Doan Thi Huong, 28.
Even more damaging, Kyunghyang Shinmun's report quoted anonymous sources to report that Kim Jong-nam had attempted to defect to South Korea, the USA, and Europe - news that could seriously weaken the Kim dynasty's stature in the eyes of North Korea's elites and commoners. He spent most of his time overseas in Macau, mainland China and Singapore.
Multiple South Korean media reports, citing unidentified sources, said Kim Jong Nam was killed at the airport by two women believed to be North Korean agents.
Kim Jong Nam was the son of Kim Jong Il, North Korea's second leader, and Sung Hye Rim, an actress who analysts say was forced to divorce her first husband to live in secret with the future leader in 1970, a year before their son was born.