Ramneev,
As per travellinallover's advice (and assuming you have an Indian passport) you do not need a visa to transit, as long as you remain within the main terminal, which you will. However, I also agree that if it's easy to get a visa then do so just in case there are problems with your flights.
Below is the information from Timatic, the IATA database used by the airlines to check your entry and transit clearance.
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National India (IN) /Embarkation India (IN)
Transit Malaysia (MY) /Destination Thailand (TH)
Malaysia (MY)
TWOV (Transit Without Visa):
Visa required, except for Holders of onward tickets for a max. transit time of 24 hours, provided arriving at and departing from Kuala Lumpur (KUL). (SEE NOTE 51542)
NOTE 51542: Not permitted to transit between Main Terminal and Low Cost Carrier Terminal.
Visa required, except for Holders of a valid visa issued by Australia, China (People's Rep.), Chinese Taipei, Japan, Korea (Rep.), New Zealand or USA to nationals of India residing in country of nationality holding onward tickets for a max. transit time of 120 hours, provided arriving at and departing from Kuala Lumpur International Airport (KUL) on Malaysian Airlines (MH) or Air Asia (AK). If transit is more than 8 hours it is permitted to leave the transit area provided SEE NOTE 48423
NOTE 48423: Transit between Main Terminal and Low Cost Carrier Terminal is also permitted. When leaving the airport transit area, passports must be valid for at least 6 months from date of arrival. "