Malaysian news agency Bernama (via Free Malaysia Today) highlighted the matter on Wednesday.
"We are in the midst of searching for the others", he said while refusing to elaborate on the number of suspects wanted by police.
Khalid Abu Bakar, Malaysia's Inspector-General of Police, said the police are aware of the identities of those who are still in the embassy.
The police chief's remarks come after Singapore's Channel NewsAsia said that the North launched its own investigation in Malaysia on Kim's assassination after Malaysia rejected its request to carry out a joint investigation.
Quoting an anonymous beauty salon proprietor based in Kuala Lumpur, these agents were said to have gone to several businesses located in the city, believed to be linked to one of the suspects, 25-year-old Indonesian Siti Aisyah.
North Korea's report on highlighting the current leader's great grandfather is widely seen as a move to lend support to the idolization of Kim Jong-un and his legitimacy as royal blood.
Khalid also reminded the public not to believe in rumours, including the one alleging that deported North Korean suspect Ri Jong-chol was an arms dealer. Interpol has issued a red notice to track down and arrest them.
Jong Nam, who is the eldest son of former North Korean leader Kim Jong Il, was killed at klia2 on Feb 13.
The suspect is said to have been instrumental in luring Vietnamese national Doan Thi Huong, a woman, into the Feb 13 assassination.
The two women are now facing murder charges in Malaysia and face the mandatory death penalty if convicted. One of the women has reportedly told authorities she was paid $90 to carry out a prank for a TV show.
Malaysia's investigation into the killing has sparked diplomatic tensions with North Korea and triggered a Mexican standoff between Kuala Lumpur and Pyongyang, after the latter prevented a group of nine Malaysian embassy officials and their family members from leaving the reclusive state.