The 2019 Asian Cup qualifying match was due to be played at the Kim Il-Sung Stadium in Pyongyang on 28 March.
But the Football Association of Malaysia (FAM) has issued a statement saying it believed it would be “unsafe” for the national side to see through the fixture on North Korean soil.
FAM chief Hamidin Mohamad Ali said: “The government has asked us not to go to Pyongyang.
He said a decision to expel North Korea’s ambassador to Malaysia, Kang Chol, on Saturday, “appears to have made it unsafe for Malaysians to visit North Korea at this time”.
Mr Ali said a request had been made to switch the fixture to a “neutral venue” and that he expected the Asian Football Confederation to make a decision by the end of the week.
Diplomatic relations between the two nations have been strained since the alleged assassination of Mr Kim – the exiled elder half-brother of North Korean leader Kim Jong-Un – with Malaysia withdrawing visa-free entry for North Koreans.
US and South Korean officials believe Mr Kim was poisoned by Pyongyang agents at Kuala Lumpur International Airport on 13 February.
Investigators in Malaysia have identified a total of eight North Korean suspects.
They believe two female suspects – one Indonesian and the other Vietnamese – who have been charged and are in Malaysian custody, had been trained to coat their hands with toxic chemicals and then wipe them on Mr Kim’s face.
Toxicology tests showed the 45-year-old was killed with a highly toxic chemical known as VX nerve agent.
It can be made as a liquid, cream or an aerosol – and if consumed in large doses, it can kill a person within 15 minutes.
As Mr Chol flew home via Beijing on Monday, North Korea announced the expulsion of Malaysia’s ambassador and demanded the envoy leave the country within 48 hours.
Mr Chol, who was also given two days’s notice, said the Malaysian government’s “extreme measures” had harmed bilateral ties.
He was expelled after he said the Malaysian investigation into Mr Kim’s death could not be trusted and asserted the probe was politically motivated and “in collusion with South Korea”.
North Korea blames Malaysia for Mr Kim’s death and says he may have died after suffering a heart attack.