There is no mystery for me; this is just conspiracy mongering about the murder, something that's come up every decade or so. The evidence is overwhelming that he was killed by followers of the Nation of Islam. Which tried to kill him before.
Malcolm made a very public break with NOI and while doing so attacked its leader Elijah Muhammed. He accused Muhammed of corruption and, worst of all, having sex with underage females. Muhammed later admitted to this. The divide got worse when he returned from his pilgrimmage to Mecca and broke with the black separatist movement or cause. He abandoned his hatred of white people - remember the NOI believes that all white people are literally devils - and believed in racial integration. This too infuriated the followers of Muhammed. For them, Malcolm was a race traitor.
In any case, his attacks infuriated followers of the NOI and they shot him down. Here is Malcolm defending himself; he knew they were coming for him. He's not worried here about the Klan going after him either.