Inspector General of Police Khalid Abu Bakar said the warrant had been issued for Kim Uk Il, 37, according to Bernama, the news agency.
He's wanted for questioning over the death of Kim, the North Korean leader Kim Jong Un's estranged brother, who was killed with a VX nerve agent at Kuala Lumpur International Airport on February 13.
A request has also been sent through the Foreign Ministry seeking the cooperation of Hyon Kwang Song, second secretary at the North Korean embassy, in relation to the investigation, Bakar said.
Malaysia's Deputy Prime Minister Ahmad Zahid Hamidi warned the North Korean ambassador to cooperate with their requests, saying if he continued a series of verbal attacks on Malaysia there would be a "hefty price."
"As an ambassador, even if the script comes from sources that he himself knows, he must respect our judicial system, ethics, culture and customs by our country," he said.
Kang Chol, the North Korean ambassador, has accused Malaysia of being "in collusion with South Korea." He also said the country would reject the results of a "forced" autopsy on one of its citizens and he demanded the immediate release of the body.
North Korean suspect deported
On Friday, Ri Jong Chol -- the only North Korean man held in connection with Kim's death -- was released from custody, under heavy police escort
, on his way to being deported.
Police don't have sufficient evidence to charge Ri , Malaysia's attorney general told CNN Thursday.
Hamidi said Ri will fly from Malaysia to Pyongyang, via Beijing, accompanied by two officials from the North Korean embassy.
Malaysia's Director General of Immigration, Seri Mustafar Ali, said he's been blacklisted from re-entering the country.
North Korea has vehemently denied any connection to the murder.
Two women have been charged
with Kim's murder. Siti Aisyah and Doan Thi Huong have both said they are not guilty. If found guilty, they will face the death penalty
According to authorities from their home countries, both women have maintained they thought they were participating in a TV prank show.
Aisyah thought the substance she rubbed on Kim's face was "a kind of oil, baby oil, something like that," said Andreano Erwin, Indonesia's deputy ambassador to Malaysia.
Malaysian authorities said the substance was VX nerve agent
, a deadly chemical weapon banned under international law.
After the women wiped Kim's face with the liquid, he started feeling dizzy and died shortly afterward on his way to the hospital, Malaysian police said.
VX is the world's most potent nerve agent and one of the most dangerous chemical weapons ever manufactured. It's banned under the Chemical Weapons Convention.