The primary suspect is that my carrier, Celcom, which is not the official iPhone carrier, screwed up again.
I have tried rebooting a few times, reseting the iPhone, with no luck.
Almost wanted to give up and look change my carrier to Maxis or DiGi from Celcom because of this.
However, I decided to give myself another try:
What I did was to beg someone for a maxis SIM, insert the SIM to my iPhone and reboot. After confirming that the Internet Tethering is available, I turned off the iPhone, removed Maxis SIM and put in my Celcom SIM.
Pray..... Reboot..... Viola! Internet Tethering comes back, even with Celcom SIM card!
Should you need Internet Tethering and not using the official carrier's service, you just need to pop-in the official carrier's SIM, reboot your iPhone to make sure Internet Tethering option is available, then turn your iPhone off, put in your unofficial carrier SIM back, and you are done!