I have been hearing a lot of similar stories about women having their bags snatched in Saigon recently, so I don't know if KL is worse or if it's just bad luck. Recently however, I spoke with a European woman who works in the diving industry in Indonesia and who was robbed in KL TWICE! two nights in a row!
Both incidents happened late at night. In the first instance she left a hotel at 3 AM for an early morning Air Asia flight. As she attempted to hail a cab, she was beaten on the back of the head and lost consciousness for a few minutes. The thieves took her money but left her passport behind. She missed her flight and rescheduled for the following night.
On the second night she tried again to catch the early morning flight and walked out of the hotel clutching her purse looking carefully around. A motorbike duo must have seen her over-protective stance and figured she had valuable stuff in her purse. They snatched her bag and this time took her passport with them. She ended up having to extend her stay in KL to get a new passport, visa etc. At least no physical violence the second time, but horrible experience nonetheless.
OMG
That is really tough luck!