You don't have to pay Malaysia tax if you are working abroad, and not tax resident in Malaysia.

But you need to keep those record, prove of employment and paying slip for future reference, if requested.
Those are proof of income earned from overseas, which is tax exempted.

While if you already have an income file previously, it is better to inform them, as once you have file, you are required to submit your yearly income declaration, even though you are earning zero taxable income.