Given the melting pot of races that form Malaysia's population, it's not uncommon for a copious amount of festive celebrations to occur in a calendar year. In fact, any excuse to celebrate an occasion will be well received by Malaysian people.
You would think that the festivals specifically inherent to the major ethnicities would suffice, but no, Malaysians are all too willing to celebrate Western holidays as well.
Although most will just revel in the respite that a holiday provides without actually celebrating it, you shouldn't mention this. It won't hurt their feelings but Malaysians aren't fond of being confronted with the truth. Instead, just note how cultured and considerate they are to acknowledge holidays that aren't related to them.
The celebration of Western holidays like Halloween or Christmas or even St. Patrick's Day brings great joy to Malaysians as they get to explore different facets of their personalities, celebrate-binge or partake in mass consumerism under the pretext of spreading festive cheer. Expect to find places like shopping malls, clubs or pubs fully patronised by Malaysians looking to usher in some merriment.
For you foreigners who are missing out on these celebrations as they take place back home in your own country, this is a perfect opportunity to impress your Malaysian friends. Note how appreciative you are that Malaysians have an outlet for you to express your specific religion based holiday.
Then explain the roots and history of this holiday and point out the differences and mistakes Malaysians have made in the process of interpreting it. This will cause some guilt for your Malaysian consorts and they'll endeavour to better appropriate and adapt the holiday in future. In the meantime, you can use this guilt to garner favours, holiday gifts and invites to house parties.