The problem is it is so expensive and requires jumping through so many hoops that it's not really worth the effort.
For golf, almost without exception you need to have your own clubs and shoes, be a guest of a member and have a verifiable handicap.
If you really do fancy playing golf in the city, a better bet is to do so "virtually" at an indoor centre. Both the Golf Club KL City Centre, in the Novotel Hotel, and City Golf KL, in Bangsar Shopping Centre, offer well-run operations. Neither comes cheap, but nothing to do with playing this sport ever does here.
Bangsar Shopping Centre, 285 Jalan Maarof, Bukit Bandaraya, Kuala Lumpur
T: (03) 2282 0011
The Golf Club KL City Centre
Lower Ground Floor, Novotel Hotel, 2 Jalan Kia Peng, KLCC, Kuala Lumpur