A red notice has been issued by Interpol for four people of North Korean national in relation to the assassination of Kim Jong-nam in Malaysia.
"From the son, who is out of the country", Zahid said, declining to name the country.
However, Malaysian authorities have concluded that the deceased man was indeed the outcast half-brother of North Korean leader following a DNA test.
Washington has previously said all options, including military, are on the table in its review of policies toward North Korea.
A football match between North Korea and Malaysia has been postponed amid increased tensions between the two nations after Kim Jong-nam's death. The incident sparked a diplomatic stand-off which saw both countries slapping travel bans on the other's citizens.
The killing has led to a bilateral row between Pyongyang and Malaysia over Kuala Lumpur's initial refusal to hand over Kim's body to North Korea without a post-mortem, and unless his next-of-kin came forward to give DNA and claim the body. North Korea strongly denies the allegation.
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Asked if Malaysia will exchange the Korean suspects believed to be hiding in the embassy for the Malaysians in Pyongyang, he said "we are looking at all possibilities". That includes a period where the United States has provided $1.35billion (£1.1bn) in assistance to North Korea as an encouragement to take a different pathway.
Two foreign women have been charged with his murder, but police are still seeking the four North Koreans whom they believe to be masterminds of the attack.
Deputy Prime Minister Ahmad Zahid Hamidi said police confirmed Kim's identity using DNA from his son which was obtained overseas and brought to Malaysia, local media reported.
Deputy national police Chief Noor Rashid Ibrahim said Kim's family will let the government decide what to do with his body. North Korea has rejected the autopsy from Malaysia and said his death was probably from a heart attack.
Pyongyang has repeatedly sought custody of the body, but Malaysia has so far refused to release it to anyone other than Jong-nam's family.
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