According to The Telegraph, McIlroy's golf clubs went missing somewhere along the journey from Georgia to Kuala Lumpur, a frustrating result of a lengthy flight with several connections.
"It hasn't happened often," McIlroy said "It's one of these things you can't help, going through so many timezones and so many connecting flights your bags are going to get lost sometimes."
McIlroy has a small window of time before he tees off on April 14, but the 21-year-old is optimistic about his clubs reaching him before the tournament begins.
Despite the unfortunate end to his journey, McIlroy said he used the long flight to reflect on what went wrong during his final day at Augusta, and is focusing on his bright future.
"I'm really just looking at the positives," McIlroy said. "I led that golf tournament for 63 holes, and that's really all I can look at. Everyone's going to have bad days — mine just happened probably on the most important day of my golfing career."
McIlroy will be competing against a familiar face at the Malaysian Open, as Masters champion Charl Schwartzel was also on the flight over from the United States. McIlroy said he was happy for his fellow competitor after his strong performance on Sunday.
"It was fine," McIlroy said. "I've known Charl a long time and I'm happy for him, he played great on Sunday. To go out and shoot a 66 on the final day of the Masters to win was a great performance."
McIlroy and Schwartzel headline the 50th annual Malaysian Open, which runs from April 14-17 at the Kuala Lumpur Golf and Country Club.