Actually I am in KL at the moment and saw the protest on CNN while staying at the Sheraton. I was concerned that it was the day I saw it (Saturday) - but upon inquiry I found out it was the day before. I had simply planned to avoid the area.
I guess luck was with me b/c it turns out the Danish embassy is quite close to the hotel and I had walked around the previous afternoon - either the demo took place before or after I was in the area or I was just very lucky (well had I seen a large group of people I would have avoided it as I would in any city but I guess I would have had a bit of an adrenalin rush.
I am American as well and don't feel any less safe than I ever have whilst in KL.