All you need to do is to get your hands on this Lightning to 3.5 mm audio cable which is not included with the AirPods Max. The catch is that the cable carries a rather hefty price tag of RM 199, as listed on Apple Malaysia’s website:

Truth to be told, this cable has long existed before AirPods Max though. Prior to this, it was designed to allow Beats Solo Pro owners to utilise the headphones on other devices via wired manner. Similarly, iPhone or iPad owners can also use the cable to connect their devices to a speaker system. So, what you are looking at here is not a cable specially made for AirPods Max. Nevertheless, it is the only first-party solution that is available at the moment for those who want to utilise the new headphones directly through a 3.5mm audio port. (Source: Apple Malaysia via Amanz.)

The 3 5mm Audio Cable For AirPods Max Costs RM 199 In Malaysia - 5