The two men and two women, aged between 27 and 60, were detained at their hotel on Langkawi Island - a popular tourist destination (pictured below) - last Tuesday.
They were sent back to their home country, Finland, after being accused of "disturbing religious harmony" and handing out Christian material to workers in the coastal city of Jalan Pantai Chenang.
Proselytising of Muslims by people of other religions is illegal in Malaysia.
According to Langkawi police chief Mohamad Iqbal Ibrahim, it was decided the group would not be prosecuted. Each member could have been jailed for up for five years if found guilty.
The office of Malaysia's attorney-general will send a letter to Finland's embassy to express discontentment over the behaviour of the missionaries.
Officers had seized more than 300 booklets which featured Bible verses from them.
Almost two-thirds of Malaysia's 31 million people are Muslim.
World Watch Monitor, an organisation highlighting religious persecution around the world, quoted a source who said the group's arrests marked the third incident of its kind in recent weeks.
According to the source, five Nigerians and six locals have been detained for similar activities elsewhere in Malaysia.
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