According to Today Entertainment, two men approached Bay and demanded $12,900. After a verbal confrontation, one of the men assaulted Bay and three police officers who intervened.
Police arrested one attacker for blackmail and assault and the other for suspicion of assault.
The director suffered injuries to his face, but a police spokesperson said he declined medical treatment.
The two men are in custody while police further investigate the event.
"Transformers 4: Age of Extinction" is partly set in Hong Kong. It stars Mark Wahlberg and is to be released next June