By law, if you are a Malaysian (e.g. having M'sian passport), you can not hold the citizenship of another country. Having said that, personally I have seen people holding both M'sian and Australian passport.
If you search the Internet, people will advise you which passport to use when you leave a country (e.g. NZ) and enter Malaysia and vice versa so you don't get 'caught' by the immigration officer at the airport (KLIA or KLIA2) questioning you when you didn't have the record of disembarkation. Some actually suggest you if you are flying back, fly to a 3rd country (e.g. Singapore or Brunei), enter the country and then take the next flight (so that you have record of exiting the country) back to Malaysia.
The important thing is to only show one passport to the immigration officer when you enter Malaysia (if you are being questioned but nowadays Malaysian passport holders will go through the auto-gate to verify their identity). I have heard a story that the M'sian passport of someone was confiscated at the airport when s/he showed both passports to the immigration officer, so s/he lost the Malaysia's citizenship on the spot.