Four people were rescued after a Malaysian coast guard helicopter crashed in the Strait of Malacca, on Tuesday, the aviation regulator said.

The helicopter was on a training flight when it plunged into water near Angsa Island, the Civil Aviation Authority of Malaysia said without giving a cause.

"A total of four persons including pilots were onboard and there were no fatalities reported. All survivors were rescued by a rescue helicopter," it said.

Angsa is a rocky island in the Strait of Malacca, a narrow shipping lane which runs between the Indonesian island of Sumatra and Malaysia.

The coast guard in a separate statement said it will launch an investigation into the cause of the crash.