The game will take place at the country's Bukit Jalil Stadium, which has a capacity of over 80,000, on July 13 in the first part of their Asian tour. The club said they would give details about the second stage at a later date.
"Everyone at Arsenal Football Club is excited to be visiting Malaysia," Arsenal Chief Executive Ivan Gazidis told the club's website on Tuesday.
"The club has a tradition of playing there going back to the 1960s. This will be our fourth visit to Malaysia, having last visited Kuala Lumpur in 1999.
"We enjoy huge support in Asia and this will help bring the club closer to our fans out there."
Wenger has previously voiced concern about pre-season tours not being the best preparation for his team and has favoured taking his squad to mainland Europe for low-key warm-up matches before hosting the annual two-day Emirates Cup.
The Malaysian fixture may cause concern to Asian Football Confederation head Mohamed Bin Hammam, who has been unhappy with teams touring Asia while regional tournaments are being played.
The match comes 10 days after Malaysia play their 2014 World Cup Asian qualifying first-round, second leg against Taiwan which they are heavy favourites to win.
Should they advance, they would play southeast Asian rivals Singapore in the first leg of the second round on July 23.
