Kim Jong-nam is thought to have been poisoned as he waited to board a flight in the capital Kuala Lumpur on Monday.
Local authorities are carrying out an autopsy to establish the exact cause of Mr Kim's death, but Pyongyang has reportedly objected.
Police have arrested one woman in connection with the death, but are still looking for other suspects.
According to reports, North Korea sent a number of representatives to the hospital where the autopsy was being conducted on Wednesday to ask for the return of the body.
Malaysia has yet to formally confirm that the dead man, who was travelling under the name Kim Chol, is Kim Jong-nam.
Malaysia has not bowed to the North Korean demands. One source told Reuters: "Malaysia said it won't be pressured into anything... we will stick to procedures.
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