The Hong Kong Football Association (HKFA) announced the news on its website, but did not elaborate on the reasons behind the cancellation.
It said only that it had received a written notice from its Malaysian counterpart on Wednesday that the team could not visit Hong Kong.
The HKFA said it “understands fans’ expectation for all Hong Kong Representative Team home matches and attempted to negotiate with the Malaysia side, however both sides failed to reach any positive results at the end.”
It offered full refunds for all tickets, saying arrangements will be announced shortly.
A World Cup qualifier between Hong Kong and Iran went ahead without a hitch last month, though fans loudly booed the national anthem.