First I'm lot a tax attorney or even know anything about Malaysian tax law. I'm however a person that has moved around a lot and have encounter this situation before.

You will must likely have to declare your US income in your home country. However some local tax laws allow for a deduction of foreign tax paid at source. I have not found a US tax treaty between US and Malysia but you should contact a local tax attorney or the tax agency there and ask if they allow deductions or exemptions for foreign tax paid at source.

If they do, you would declare your income and deduct the amount of tax already paid to the US. You may or may not still be liable for additional tax on that income. Again it depends on local tax rates and policies.

It's never a good idea to hide income from your tax agency though.