Deputy Inspector-General of Police Tan Sri Noor Rashid Ibrahim said the suspects, all North Koreans, left the country on Monday Feb 13, the day of Jong-nam's murder.
"We can confirm that the four left the country on the same day of the attack.
"We are cooperating with Interpol and other relevant bodies in the region," he told a press conference in Bukit Aman on Sunday.
The press conference is the first that the police have conducted since Jong-nam was assassinated.
The four wanted suspects are:
1. Rhi Ji Hyon, 33, arrived in Malaysia Feb 4, 2017
2. Hong Song Hac, 34, arrived Jan 31, 2017
3. O Jong Gil, 55, arrived Feb 7, 2017
4. Ri Jae Nam, 57, arrived Feb 1, 2017
Jong-nam, 45, was killed by two women who splashed his face with a chemical at the KL International Airport 2 departure hall at about 9am on Monday. He was about to leave for Macau.
Four people have so far been arrested in the probe into his death.
On Wednesday, the first suspect, who holds a Vietnamese passport bearing the name Doan Thi Huong, was arrested at KLIA2 as she was preparing to board a flight to Vietnam.
On Thursday, Indonesian Siti Aisyah was arrested at a hotel in Ampang at 2am.
Police said she was identified based on CCTV footage at the airport and was alone at the time of arrest.
Her boyfriend was also picked up by police to assist with investigations.
She had taken a taxi from a hotel in Bandar Baru Salak Tinggi to the airport that day.
The fourth suspect arrested over the assassination has been identified as North Korean Ri Jong-chol, from Pyongyang.
The 47-year-old man, who has expertise in chemistry, was detained after police raided a condominium in Jalan Kuchai Lama on Friday.