She was then believed to have been swept away by an underground water current.
The incident happened in the Dang Wangi area of the Malaysian capital, where local police chief Sulizmie Affendy Sulaiman said that, based on eyewitness accounts, the woman was walking along the pavement when the earth suddenly collapsed beneath her.
She was identified as a 48-year-old tourist from India.
Rescuers barricaded part of the area and used an excavator to clear the debris in the sinkhole, but there was no sign of the victim yet.
Sulizmie declined to comment when asked about the possible condition of the woman, or the cause of the incident.
Kuala Lumpur police chief Rusdi Mohamad Isa said there was a strong water flow underground and that the woman may have been swept away.
Rusdi was quoted by the national Bernama news agency as saying the search required careful planning as it involves public infrastructure.
For instance, if pipes or drains were shut down, it could cause flooding in the area, he said.
“We can’t act recklessly,” he added.
Rusdi said a soil slip was reported last year in the same location where the sinkhole appeared but it was fixed.
He said traders in the area have been advised to close temporarily for safety reasons.
The woman had come to Malaysia with her husband and several friends about two months ago for a vacation and they were due to return home on Saturday, he said.