The brutal killing of a Myanmar-born democracy activist here has unnerved Myanmar nationals in Malaysia, who worry that religious tensions back home are spilling into their sizable community in their adoptive country.

Aung Gyi, a Buddhist and member of the Malaysia chapter of 88 Generation & New Generation Society—a prominent group pushing for further democratic reforms in Myanmar—was found dead Feb. 4, police said. His body had been stuffed in the trunk of an abandoned car, they said. An autopsy report showed he had been stabbed in the neck and face by a screwdriver, attacked with a heavy object–possibly a brick or club–and punched several times.

That same week, two Buddhist politicians from Myanmar’s troubled Rakhine state escaped unharmed after a drive-by shooting while visiting Kuala Lumpur, in what police described as a likely assassination attempt.

Aye Maung, a legislator, and Aye Thar Aung, president of the Arakan League for Democracy—a group that champions the rights of ethnic Rakhine Buddhists—said in a news conference that they believe “religious terrorists” were involved in the attempt on their lives.

Malaysian police, however, haven’t released a motive or identified a suspect in either attack. “No evidence so far” links the two incidents, Mohammed Adnan Abdullah, chief of the Criminal Investigation Department in Malaysia’s Selangor state, told The Wall Street Journal on Monday. The investigation, he said, “will cover all angles to establish the motive” behind the killing of Mr. Aung Gyi, including a possible political link.

Rising anti-Muslim sentiment in Myanmar has stained its promising democratic transition, pitting majority Buddhists against the minority group, especially in Rakhine state, which borders Bangladesh. More than 150,000 still remain displaced after riots there forced people from their homes and into makeshift shelters.

Clashes have spread to other parts of the country over the past year, killing at least 150–the victims overwhelmingly Muslim.

Security experts have warned that these tensions could spill into other parts of the region, particularly Muslim-majority Malaysia and Indonesia where those sympathetic toward the plight of Myanmar Muslims could carry out revenge attacks.

Malaysia is especially vulnerable to these tensions, with a large population of both Buddhist and Muslim Myanmar residents. The Office of the United Nations High Commissioner for Refugees says about 34,368 Rohingya are registered as refugees in Malaysia, along with 7,940 ethnic Rakhines. Also, an estimated thousands of others from Myanmar are in Malaysia illegally or awaiting refugee status.

Most ethnic Rakhines are Buddhist, while Rohingya are predominantly Muslim.

Myanmar activists in Malaysia who are Buddhists told The Wall Street Journal they are increasingly afraid for their lives.

“I am frightened,” said Myat Ko Ko, a Buddhist who had demonstrated alongside Mr. Aung Gyi for democratic reform in Myanmar. “What happened to Aung Gyi can happen to the rest of us activists.”

Meanwhile, Myanmar Muslims living in Malaysia fear that they could be unfairly blamed for the attacks and then become a target of violence.

“I have never heard of Rohingyas killing activists or politicians in all my life,” said Abdul Hamid Musa Ali, president of the Rohingya Society in Malaysia, a group that provides assistance to Muslim Rohingya refugees in the country. “If Rohingyas were that brave, they would have remained in Rakhine and fought there.”

Malaysia’s top police officer, Khalid Abu Bakar, said at a news conference Tuesday that he is concerned about spillover from Myanmar’s Buddhist-Muslim tensions.

“[We] are following whatever is happening in Myanmar very closely,” said Mr. Khalid, inspector general of the Malaysian police.

In June, violence linked to troubles in Myanmar’s Rakhine state left four people dead in Malaysia and at least 15 injured, all Myanmar Buddhists. San Win, a Myanmar Buddhist living in Malaysia, said he and Mr. Aung Gyi had received death threats afterward.

Mr. San Win said he and other Buddhists in Malaysia feel “vulnerable” following the killing of his friend.

In May, several Indonesians were arrested for plotting to bomb the Myanmar embassy in Jakarta. Suspects in the case later admitted to planning an attack, saying they wanted to avenge the killings of fellow Muslims in Myanmar. Indonesia has the world’s largest population of Muslims.

Write to Celine Fernandez at Celine.Fernandez@wsj.com and Shibani Mahtani at shibani.mahtani@wsj.com

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