Hamza Kashgari was taken into custody after flying into Malaysia's main international airport on Thursday, national police spokesman Ramli Yoosuf told AFP.
"Kashgari was detained at the airport upon arrival following a request made to us by Interpol after the Saudi authorities applied for it," he said.
Officials in Interpol's office in Malaysia could not immediately be reached for comment.
The state news agency Bernama said the 23-year-old Kashgari had been detained by Muslim-majority Malaysia "for allegedly insulting Islam and the Prophet Mohammed".
Last week, on the prophet's birthday, he tweeted: "I have loved things about you and I have hated things about you and there is a lot I don't understand about you.
"I will not pray for you."
AFP could not immediately confirm where the 23-year-old Kashgari flew in from or whether he was en route to another destination.
A statement released by Malaysian Home Minister Hishammuddin Hussein said Kashgari was detained in the airport's departure hall but gave no further details.
"The police are now in contact with the Saudi Arabian authorities in order to determine the next steps," the statement said.
As fellow Muslim countries, Malaysia and Saudi Arabia have close ties but do not have a formal extradition treaty.
However, a Malaysian home ministry official who asked to remain unidentified said Kashgari could be extradited under other bilateral security agreements.
Malaysia has in the past summarily deported people it considers undesirable.
Kashgari's controversial tweet sparked some 30,000 responses, according to an online service that tracks Twitter postings in the Arab world.
Insulting the prophet is considered blasphemous in Islam and is a crime punishable by death in Saudi Arabia.
Fadiah Nadwa Fikri, a spokeswoman for Malaysian activist group Lawyers for Liberty, said Kashgari was a blogger who had decried the "oppression of women". "This is again a violation of freedom of expression. He has every right of making comments and so on without being persecuted," she told AFP.
"Malaysia should give asylum to him. But instead they are conspiring with the Saudi government. It's abhorrent."
Kashgari has apologised over the affair but that has not stemmed calls for his head.
A committee of top clerics branded him "an "infidel" and demanded he be tried in an Islamic court, while a Facebook page entitled "The Saudi people demand Hamza Kashgari's execution" has attracted thousands of followers.
The incident has shone a spotlight on the use of freewheeling social media networks such as Twitter and Facebook in deeply conservative Saudi Arabia.
Top Saudi cleric Grand Mufti Sheikh Abdul Aziz bin Abdullah al-Sheikh has called Twitter "a great danger not suitable for Muslims" and "a platform for spreading lies and making accusations".
But millions of Saudis, including many government officials, have created Twitter and Facebook accounts.