Dang Wangi district police chief Noor Dellhan Yahaya said a member of the public called emergency services at 6.42pm to report the discovery of the body.
Firefighters forced open the door of the car, believed to be a McLaren 720s, and a medical team reported that the man was dead.
Police found no traces of injury on the body and the case has been classified as one of sudden death.
Noor Dellhan said the body had been sent for an autopsy.
The price of McLaren cars range from RM1 million up to RM2.6 million. Certain models are available for rent at up to RM7,500 a day.
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