You can rock climb at 4 spots of the limestone hill that also hosts the famous Batu caves temple. Climing the walls is free of charge unless you want to take courses.
Best way to get there is by taxi which is around RM 12 from the city center (20 min drive if there is no traffic jam). Make sure the taxi driver drops you at the climbing walls and not at the hindu temple or you have to walk quite a bit.
Map of climbing spots
North Side Batu Caves:
Damai Wall - 30 routes
Red Rocks - 10 routes
White Wall - 16 routes
East Side Batu Caves:
Volleyball Court - 13 routes
North-East Side Batu Caves
Nyamuk Wall - 51 routes
South Side Batu Caves (the right of the Temple):
Comic Wall - 15 routes
Roadshow Wall - 8 routes
Nanyang Wall - 26 routes
Public buses (about 40min to get there):
Intrakota Bus No.11
from central market, alight at the Hindu Temple. For access to Comic Wall, Roadshow and Nanyang Wall
Intrakota Bus No.42
from central market, goes to Bolton Industrial Park. For access to Volleyball Court and Nyamuk Wall.
Intrakota Bus No.14
from Central Market until last stop (Pingiran Batu Caves). For access to Damai Wall, White Wall and Red Rocks
Intrakota Bus No.41
from LOT 10 Shopping Mall until last stop (Pingiran Batu Caves). For access to Damai Wall, White Wall and Red Rocks