"The 33-year-old lance-corporal climbed out of his hotel room window when religious affairs department officials raided his room in the early hours of Saturday," a senior police official, who declined to be named, told AFP.
He said the man was believed to have jumped or fallen from the third-storey window and "all the religious officials found in the room was a woman by herself and a pair of men's trousers.
"The officer was still alive when he was found on the hotel grounds but died in hospital later," he added.
The woman was released after questioning, and investigations into the incident were continuing, he said.
State police chief Abdul Rahim Hanafi confirmed to AFP that one of his men had died in the incident but refused further comment.
Under Islamic law, which operates alongside the civil code in multicultural Malaysia, "khalwat" -- close proximity between a man and a woman who are not married -- is forbidden.
Teams from the state religious departments routinely carry out raids in the country's hotels, entertainment facilities and parks in a bid to catch unmarried couples canoodling or having casual sex.