The main danger for tourists in Kuala Lumpur is robbers of all sorts - migrants from Indonesia, Philippines, Pakistan, who are attracted by the opportunity to not just find, but take away their "happiness".
Possible "scenarios" of attack include: purse snatching by motorcyclists, robberies at ATMs, pickpocketing, etc. The most common locations for robberies are in the center of the capital: Ampang Park, the Twin Towers area, and the escalators of the respective subway stations.