The bodies with stab wounds were found in an apartment in the suburb of Damansara Damai on December 18 by a debt collector who had come to collect the monthly rent, police said.
The pair had been dead for four to six days when they were found.
Police identified the Indian national as 24-year-old Mohinder Pal and the woman as K Shanmugavalli, an ethnic Indian.
The man is believed to have turned the knife on himself after stabbing the woman as her parents were against their relationship, the Star daily quoted police as saying.
"There are also no signs of another party besides the two at the scene," he said. A knife, believed to be the murder weapon, was found beside the man's body.
The Star reported the woman had been missing from home since December 13 and her family had filed a police complaint.
The debt collector had to force open the door to get into the apartment which Pal had rented for about two months, the report said.
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