The woman, wearing a bridal veil with only bra and panties on, strolled outside with a "groom" wearing dark trousers and bow tie, but no shirt. Photos were sent to police via mobile-messaging service WhatsApp and posted on Facebook.
The couple were seen on Monday crossing a road in Ipoh town in the state of Perak, about 170 kilometres north of Kuala Lumpur, according to The Star newspaper.
Ipoh police chief Ahmad Termizi Abdul Haq told The Star that he dispatched a police team to the area, but officers did not find the couple. The unidentified pair could face charges of indecent behaviour, Mr Ahmad said.
Other Malaysian media reported that couple were models working for a local wedding gallery and not part of any actual nuptials ceremony.
The incident is the second half-naked adventure Malaysian police have been involved with recently. Earlier this month authorities launched a manhunt for organisers of a "nude sports festival," video of which appeared on YouTube.