Taiwanese tourist Chang An Wei sent an SMS to her family on Thursday telling them that she was safe.
"We are having a great time on the island. Please tell mum, we will be cautious and do not worry!" said the message in Mandarin.
Madam Chang's older brother, Chang Da Gong, said she sent the message at 10.17pm. But three hours later, she was kidnapped by armed gunmen who had shot dead her husband Hsu Li Min, 57, while both were holidaying on Pom Pom Island off Semporna in Sabah, reported Malaysia's The Star.
The gunmen may be taking Madam Chang, 57, to the terror group Abu Sayyaf 's base on Jolo island in Sulu province, Philippines. The group is believed to be holding other hostages there.
The incident brings to mind a similar incident in 2000, when a group of Abu Sayyaf gunmen raided the Malaysian diving resort of Sipadan, off Borneo, and fled to their Jolo base with 10 Western tourists and 10 resort staff.
Police sources told the New Straits Times that mobile phones and other valuables were left untouched in the couple's room.
Madam Chang's brother is expected to fly to Kota Kinabalu tomorrow with Mr Hsu's family members to claim his remains.
Mr Hsu's brother, Hsu Li Ren, hoped the authorities would go all out to save Madam Chang. "She is not dead, please go all out to save her," he said in the Liberty Times.
He said that his brother could have been killed because of his burly physique.
"My brother did not have any run-ins with anyone or enemies. Why was he killed?" he said.
He said the gunmen could have opened fire for fear they could not overpower his brother, who was 1.8m tall and weighed about 100kg.
On news reports that the couple was not married, Mr Hsu said the couple had registered their marriage in China and not Taiwan.
Meanwhile, Taiwan's Ministry of Foreign Affairs issued an "orange" travel alert, its second highest level, for the eastern coast of Sabah.
It urged Taiwanese to avoid travelling to the area unless necessary.
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