A government statement said a production company crew member was setting up on the roof of a building in Kowloon when the suspects "intimidated her and asked for money."
Police arrested a 35-year-old but said three suspects remain at large. The case has been classified as blackmail.
The news comes a week after it was revealed that a man attempted to assault director Michael Bay and several other crew members.
In that incident, a man under the influence swung an air conditioning unit at Bay's head. The director reportedly dodged the blow.
The man and his brother were arrested. They allegedly demanded 100,000 Hong Kong dollars, which is equivalent to $13,000.
A police anti-triad unit is investigating both incidents. Triads are Chinese organized crime gangs.
"Transformers 4: Age of Extinction" is scheduled to hit theaters in June 2014.
The Associated Press contributed to this report.