Shah Rukh responded by announcing that he would shoot an entire film, tentatively titled "Happy New Year", in Malaysia next year.
"There is a film I am planning some time in August and September and will send a team down to look around, " The Star Online quoted him as saying.
He would also help develop the Malaysian movie industry that has had directors like Phani Mazumdar and Ritwik Ghatak making films.
On how he felt about his Datukship, the actor said that it was an honour not only for him but also for all actors from India.
"I am very happy that I have found a big space in the hearts of people here, " he added.
Resplendent in a black baju Melayu, samping and songkok, the traditional Malaysian attire, he received the state award from Melaka Yang Dipertua Negeri Tun Mohd Khalil Yaakob, the royal constitutional head of the state.
The 43-year-old actor held the estimated 1, 000 guests at the investiture spellbound as he received the Darjah Mulia Seri Melaka (DMSM), conferred on him in conjunction with the 70th birthday of the royal chief October 11.
Shah Rukh was tied down by a busy work schedule and could not fly in from Mumbai to receive the award in October or on the later date, Nov 29.
He arrived at the venue, Dewan Seri Negeri, at 10.55 a.m. and kept smiling and waving to his fans as he was escorted into the hall, Bernama, the official Malaysian news agency reported.
The actor was the focus of attention of the local and foreign photographers as well as guests who clicked away on their camera phones from their seats in the hall.
At the end of the investiture, the guests took the opportunity to have photographs taken with Shah Rukh.
He has received over 40 awards in the entertainment and film industry including, the Screen Award, Zee Cine Award, NDTV Award and International Indian Film Award.
He had acted in the Hindi film, "One 2 Ka 4", that has scenes shot in Malaysia, including at the A Famosa Resort in Alor Gajah near here.
At a joint news conference with the chief minister, Shah Rukh Khan repeatedly thanked Khalil and the Melaka state government for the award bestowed on him.
"Thank you to the Melaka government for this prestigious award. I was so honoured to receive this award that was given by a country that does not even understand my language, " he said.
He said Melaka has many beautiful places and he will come back to shoot a movie here.
"Melaka has beautiful scenery and I will promote this country to the world for hosting a shooting here, " he said.
Shah Rukh said he was excited and flattered wearing a baju Melayu and samping when he received the award.
He sounded disappointed that he could not stay longer here this time and said he might bring his family on a holiday.
The baju Melayu he wore was sponsored by Sovereign Wear Sdn Bhd and the Melaka state official samping made of songket was sponsored by the Institut Seni Malaysia Melaka.
The royal chief's wife, Toh Puan Zurina Kassim, and Melaka Chief Minister Mohammed Ali Rustam and his wife, Asmah Abdul Rahman, were also present at the investiture.
Shah Rukh noted that Malacca is a beautiful state that possesses many locations ideal for moviemaking.
He suggested the state set up at least one or two floor studios and labs here in order to attract moviemakers.
Shah Rukh is immensely popular among the Malaysians, besides other Indian actors like Saif Ali Khan and Salman Khan.
Their popularity goes beyond the estimated 2.6 million Indian diaspora that forms eight percent of Malaysia's 28 million population.