Federal independent Senator Nick Xenophon has been detained by Malaysian authorities after being told he was a security risk.

He was taken into custody on his arrival at Kuala Lumpur airport about 10:00am (AEDT) on Saturday.

Senator Xenophon, who is outspoken on human rights issues in Malaysia, is under escort and is expected to be put on a flight to Melbourne early on Sunday morning.

The South Australian senator had been about to join a delegation which had meetings planned with Malaysian opposition members and officials from the electoral commission ahead of this year's national election.

Nationals Senator John Williams, Labor MP Steve Georganas, and Liberal MP Mal Washer were also part of the delegation, but have now pulled out.

Foreign Minister Bob Carr said it appeared that Senator Xenophon was detained under Malaysia's national security laws.

Senator Carr said he would be seeking an explanation from the Malaysian government.

"We're expressing our disappointment, we're seeking a full explanation of this," he said.

"We think for a friendly country to do this is quite a sad thing."

In a statement, the Malaysia's immigration department said Senator Xenophon had been denied entry for breaking the law on a previous visit.

He was invited to Malaysia last year by opposition leader Anwar Ibrahim and observed a major street rally for electoral reform in April that ended in violence.

He later criticised the government's handling of the rally and what he described as biased coverage by state media.

In a statement, Malaysia's director-general of immigration, Alias Ahmad, said "Malaysia is a free and democratic country, but no-one is above the law".

Senator Xenophon told ABC News 24 that there should be more scrutiny on Malaysia's upcoming elections.

"Malaysia is due to have elections here very soon. I think the Australian Government has been incredibly silent about some of the abuses that have been occurring here in terms of the way the democratic system runs or doesn't run," he said.

"And what we were trying to ascertain with members of both the Coalition and the Government was to how free and fair the elections are likely to be.

"But at this stage I've been told that I'm not allowed entry and I have to be on the next flight back home."

'Orders from above'

Senator Xenophon said immigration officials had been "incredibly polite" but told him they had "orders from above" to detain him.

He said he had not expected to be detained.

"I just find it extraordinary. I've been here before [and] I've made statements about the state of Malaysian democracy previously," he said.

"But on this occasion clearly someone high up in the Malaysian government doesn't want me here."

Senator Xenophon was in Malaysia last year to observe the trial of opposition leader Ibrahim, who was acquitted of sodomy charges.

"I became involved in this cause when the opposition leader [Anwar] Ibrahim came to Australia in 2010," Senator Xenophon said.

"He met with a number of MPs [and] I undertook to keep an eye on the trial he was facing, which he was subsequently acquitted of."

Senator Xenophon was also a part of an observer group that published a report on the Malaysian electoral system last April.

He is currently pursuing a defamation case against government-backed media in Malaysia that misattributed a speech he gave on Scientology to the word of Islam.

Senator Williams told ABC News 24 it was important for Australian politicians to build relationships with their Malaysian counterparts.

He said a formal protest to Malaysia risked "pouring petrol on the fire", and the delegation may look at travelling to Malaysia in the coming weeks.

"I don't think it is a big issue. They have their reasons why they stopped him at the airport," he said.

"I am sure these can be talked through in time and I don't see any reason why we would want to add fuel to the fire on this issue.

"It will settle in a few weeks' time and we will look at whether we can make a visit then."

ABC/Reuters