Ferries connect various points in Peninsular Malaysia with Sumatra in Indonesia and southern Thailand, Sarawak with Brunei, and Sabah with East Kalimantan in Indonesia and Mindanao in the Philippines. Luxury cruises also run from Singapore and sometimes Phuket (Thailand) to Malaysia.alaysia is a country in Southeast Asia, located partly on a peninsula of the Asian mainland and partly on the northern third of the island of Borneo.