there are a number of tackle shops in Kuala Lumpur but the only one I have found that is worth visiting is Sabre Tackle at 93 Jalan Maharajalela. You can get there by taking the monorail and getting off on Maharajalela and then walking back along the street for a few hundred metres. You'll actually see if from the monorail.
It's not huge but it's prices on terminals, line and reels can be excellent. What are you looking for?
Hopefully, some of our Malaysian members can provide information on other stores.