No. Stonehenge is a prehistoric monument located in Wiltshire, England, about 140 km (90 mi) west of London. It consists of a ring of standing sarsen stones topped by lintels, built in stages between ~3000 and 2000 BCE.
Malaysia, in Southeast Asia, has its own ancient sites (e.g., Bujang Valley, Lenggong Valley), but Stonehenge is uniquely British and a UNESCO World Heritage Site.