Although you didn't specify, I'm assuming that you didn't buy this gun new, as this is the fate that awaits all KJW M9s due to their plastic mag catch. This is a very common issue, and occurs when the edge of the mag catch that locks into the notch in the mag wears and can't keep enough pressure to hold the mag in the gun.
But there are simple solutions!.
The first is the simple, quick temporary fix. The M9 has a nifty ambidextrous mag catch. You can remove the mag catch and insert it the other way. The up side is that it'll work for some time this way until that side wears out. The down side is that the release button will be on the right side of the gun instead. A bit annoying if you're a right handed shooter, but it's a quick simple fix and not hard to get used to. And since you're left handed, this is a better option for you anyway!
The second fix is more permanent, but requires a lot more work. The mag catch needs to be replaced with a new one. Guarder makes a steel mag catch they claim to be compatible with both the TM and KJW. In my experience, it's compatible with neither out of the package and needs modding to work properly. It requires some grinding with a Dremel to fit properly.
To reverse the mag catch, remove the grip plates. Be VERY careful with the right side grip plate, as it holds the trigger bar spring that can fall out very easy. Press the mag catch out, insert it the other way, and reinstall the grip plates. You should be able to do this in less than 5 minutes. Just note that this will be a temporary fix and you will eventually wear that out as well.