Deputy ambassador Nicky Scholtz was last seen on Sunday in a Kuala Lumpur hotel where he attended a conference.
Scholtz, 54, had arrived in Malaysia last month to take up the new posting.
Deputy inspector-general of police Muhammad Sedek Muhammad Ali said it was the first time a diplomat had gone missing in Malaysia.
"We are still investigating. It is something of concern to us because he is a diplomat and he has gone missing in Kuala Lumpur," he told reporters.
Muhammad Sedek said there was no indication Scholtz could have been kidnapped.
"It is still a missing person case," he added.