Christmas is not an event that is heavily recognised in KL. Malaysia is a Muslim country, and the next largest religious groups tend to be Budist and Hindu. So don't expect a great deal of Christmas celebration around town. There will be a little, bit not a lot. Its not a major holiday period.
So what type of things do you like doing? The usual KL tourist things should be on the agenda, such as:
Shopping at places like Sungai Wang and Bukit Bintang Plaza and maybe Mid Valley Mega Mall
Was in KL for Xmas 10 years ago, yes its quiet, I was only there overnight before jumping a domestic flight to Langkawi for 10 days of pool lounging and drinking duty free alcohol (although did manage a day trip out to see the pontoon on the coral at Pulau Payar Marine Park:
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