Most Malaysians would understand Good Bye just fine. However if you like to say it local you can use the examples below. Also note that there are many dialects in Malaysia so below are some examples:
Malay language:
Selamat jalan (Safe journey) Said to the person going
Selamat tinggal (Safe or good stay) Said to the person staying behind
Selamat malam (Safe or good night) Said for a short journey
However, there is a large population of Malaysians that speak Chinese or Indian languages. So here are some more that you can use for locals:
Chinese:
Chinese Mandarin - Zai jian
Chinese Cantonese- Joi gin
Chinese Hakka - Zoi kien
Indian:
General non formal: Nandri (see you later)
Tamil - Poyitu varen (formal)
Because Malaysia is a melting pot of cultures most people understand general English so all will understand the meaning of Good Bye but Malaysians will appreciate your effort to speak in their language, so go ahead and try.
good bye or bye
Aurevoir. A bientôt. But if you say "good bye" or "bye bye" everyone understands you.
"Good-bye."
bye
In India, you can say bye in multiple ways such as "goodbye", "bye-bye", "see you later", or "take care" depending on the region and context.
I Say Good-bye was created on 2001-11-07.
In India, "good-bye" can be said as "Alvida" in Hindi or "Namaste" as a more informal way of bidding farewell.
La korn = Good bye or bye bye
Don't Say Good-Bye was created on 2009-06-24.
say bye bye
In Yiddish, you can say "tsayt a gezunt" to say goodbye, which means "stay healthy".
Hello=Hola Good-bye=Adiós