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hi visiting is not an issue.but from where will you travel to malaysia that’s a question.
I am in ksa too

I don’t see personally any problem in you going to Malaysia from anywhere in the world. The issue, however, relates to the visa. If you are asked to get a single entry visa then you can get it only through the embassy at the country you indicated you live in. If, on the other hand, you are exempted from the single entry visa, then I don’t think you are forced to travel to Malaysia from a specific country, unless restrictions apply to travelers from some countries. Better information may be given to you by other collogues.