@hockster: this 5 words already gives you your answer. From the company's perspective, they are hiring a contractor that resides in "some other country" (i.e. offshore). that implies that the contractor is obliged to pay his taxes in whatever country he's from.

So, you do have obligations to pay your income taxes in Malaysia. Whether you choose to declare your income to LHDN or not is a separate issue, since it's arguably much easier for you to evade (since the company has no Malaysian presence, doesn't pay PCB, etc).