A former police commando at the centre of a sensational murder case in Malaysia who has been sentenced to hang in Kuala Lumpur is believed to be living in Australia.

Malaysian police say they will ask Australian authorities to arrest and extradite Sirul Azhar Umar, one of two policemen convicted over the murder of glamorous Mongolian socialite Altantuya Shaaribuu amid allegations of high-level bribery and political intrigue in Kuala Lumpur.

The presence of Sirul, a former bodyguard of Malaysia's Prime Minister Najib Razak, in Australia would create a dilemma for the Abbott government, which opposes the death penalty. Australia signed an extradition treaty with Malaysia in 2006.

Prime Minister Tony Abbott said last week Australia will make the "strongest possible representations" on behalf of Myuran Sukumaran, the Bali Nine drug mule on death row whose bid for clemency has been rejected by Indonesian President Joko Widodo.

"Australia opposes the death penalty. We oppose the death penalty for Australians at home and abroad," he said.

"We obviously respect the legal systems of other countries but where there is an attempt to impose the death penalty on an Australian, we make the strongest possible diplomatic representations."

Sydney grandmother Maria Elvira Pinto Exposto, 51, faces a mandatory death sentence if found guilty in Kuala Lumpur of drugs charges.

Kuala Lumpur police chief Mohmad Salleh told journalists Malaysia will seek the co-operation of international police to arrest Sirul, a father of two.

"To date, the Malaysian Immigration Department has confirmed that he went abroad, namely Australia. He went in October last year," he said.

"We will liaise with the Australian Federal Police if he is there but if he has left for other destinations we will liaise with Interpol to arrest him. "

Allegations have simmered for eight years that Ms Shaaribuu, 28, was murdered to keep her quiet about purported kickbacks to high-level Malaysian officials.

According to court testimony, Ms Shaaribuu begged for her life and that of her unborn child before she was shot twice in the head, wrapped in C4 plastic explosives and blown up.

Her remains were found in a patch of jungle in Kuala Lumpur's suburbs on October 19, 2006.

No motive for the murder has been established in court.

"Why was my daughter killed?," Ms Shaaribuu's father Setev Shaaribuu asked after a Federal Court panel on Tuesday upheld a 2009 sentence for Sirul and former Malaysian chief inspector Azilah Hadri to hang.

"Until today, I do not know why she was killed," Mr Shaaribuu told the Malaysiakini online news service from Ulanbataar through his lawyer.

The government has refused to hold an inquiry into the case.

Mr Shaaribuu confirmed that he will now proceed with a civil suit against the Malaysian government over the murder of his daughter, who was a lover of Ferrari-driving businessman Abdul Razak Baginda, a friend and policy adviser to Mr Najib.

The case centres on Malaysia's US$2 billion purchase of two French-Spanish-built Scorpene submarines in 2002 when Mr Najib was defence minister.

Ms Shaaribuu spoke several languages and worked as a translator in the latter stages of deal negotiations.

Mr Najib strongly denies ever meeting Ms Shaaribuu or having any link with her and the government denies any wrongdoing in the submarine purchases.

But French investigating magistrates in Paris are looking into so-called "commission" payments totalling about US$160 million to companies reportedly set-up by Mr Baginda, who was initially charged with abetting a murder. The charge was dropped in 2008 before any evidence was heard against him in court.

He is believed to be now living in Britain.

Ms Shaaribuu, who had been married to a popular Mongolian singer, admitted in a letter found after her murder she had been blackmailing Mr Baginda, who had jilted her after they travelled through Asia and Europe together.

She allegedly wanted a US$500,000 cut to remain silent about her knowledge of the submarine deal.

Ms Shaaribuu was abducted outside Mr Baginda's house where she was said to be causing a scene.

Both Azilah and Sirul denied any involvement in the murder.

Pleading with a court not to execute him in 2009, Sirul described himself as a "black sheep that has to be sacrificed" to protect unnamed people.

"I have no reason to cause hurt, what's more to take a life in such a cruel manner ... I appeal to the court, which has the powers to determine if I live or die, not to sentence me so as to fulfil others' plans for me."

No motive for the murder of Ms Shaaribuu, who has two sons, was established in court.

The Federal Court panel of five judges said on Tuesday the two policemen had both separately led investigators to the site where the body was found, which "strengthened" the case against them.

A shocked-looking Azilah was led out of the courtroom after the decision.

Sirul's defence team, however, told the court they did not know his whereabouts.

An arrest warrant was issued.

Azilah and Sirul were sentenced to hang in 2009 but released when an appeals court overturned the conviction in 2013 after raising questions about how their trial was conducted, prompting the prosecution's appeal to the Federal Court.

Cynthia Gabriel, who runs a Malaysian anti-corruption NGO, welcomed the court decision but said too many questions remain unanswered.

"For truth-seeking Malaysians, they want to know the motive for her brutal death and if anyone high up in the political leadership was also involved in the murder," she said.

Mr Shaaribuu expressed concern that Sirul is missing.

"I hope the police can find him soon, only then will justice for my beloved daughter be truly served," he said.

The only avenue of appeal left for Azilah and Sirul is to the state sultan for a pardon to commute their death sentence to imprisonment.

Comment is being sought from the Australian government's Attorney-General's Department which handles extradition requests from foreign governments.

With AFP, agencies