If I buy an iphone in Malaysia.. Can I use it in Italy?

According to iPhone - Supported 5G and LTE networks - Apple they are the same model.

Do not buy a carrier locked device as it can be tricky to get them unlocked if you are in another country.

Note also this warranty limitation

Legal - iOS Warranty Document - Apple - "IMPORTANT RESTRICTION FOR iPHONE, iPAD AND APPLE TV SERVICE. Apple may restrict warranty service for iPhone, iPad and Apple TV to the country where Apple or its Authorized Distributors originally sold the device."

The warranty does not outright deny warranty coverage in other countries but there are many limitations to the effect Apple almost certainly will refuse to do repairs under warranty or even repairs at all except in the country of purchase. The device may have to be sent to a friend in the country of purchase to handle any repair claims because Apple will not handle international shipping. You might be able to get repair in Italy but you will have to negotiate with a manager of an Apple Store.

Yes, you can.

IMPORTANT RESTRICTION FOR iPHONE, iPAD, APPLE TV, AND HOMEPOD SERVICE.

Apple may restrict warranty service for iPhone, iPad, Apple TV, and HomePod to the country where Apple or its Authorized Distributors originally sold the device.