As mysterious as it sounds, the Sabah Meteorological Department has pointed out that the phenomenon is known as a "light pillar". This vertical shaft of light normally appears due to the reflection of sunlight or moonlight by ice crystals that form in the Earth's atmosphere. The department's director, Abdul Malik Tussin, said the sighting on Tuesday was not the first.
"This is a natural phenomenon. It is not new and it has occurred a few times. It is also known as a 'sun pillar' or 'solar pillar'. Not many people are aware of this phenomenon because it has not been publicised before. There is really nothing to worry about," he said.
Light pillars are also sometimes referred to as the "crystal beam" phenomenon.
http://www.sott.net/article/285139-Light-Pillar-seen-over-Sabah-Malaysia