in immigration why they want to open the bag but how the owner open if they collectit already?

You have been victimised Immigration DO NOT have the authority to open your bag. Even in the you happened to put your passport in your checked-in bag ( luggage collection area is after immigration clearance ) , an immigration officer will escort you to the luggage claiming area to let you retrieve your passport. Once you have got your passport back, he will escort you back to the immigration counter for proper immigration clearance prosesses and in the event you are suspected to carry some prohibited items, immigration will ask the customs to check your bag. Immigration may request various stuffs from a passenger for example some supporting documents for your travel, enough cash to last for your stay. They can escort that passenger to retrieve them but they CANNOT retrieve those things themselves.

THE JOB OF IMMIGRATION IS TO CHECK ON PEOPLE ( PASSENGERS ) NOT ON THEIR BELONGINGS. Checking belongings is the duty of the CUSTOM DEPARTMENT.

Yes, you may lodged a report at the Police office at KLIA. Since this happened in KLIA, you can't report at other police branches.

If u think u have been victimise don't hesitate to lodge a police report, they will help u if the case are genuine.

What bag ? Perhaps they suspect you are brining in illegal immigrants...You need t provide further information as to what exactly happened.....