According to the Associated Press, a government statement said four men approached a crew member, who was setting up equipment atop a roof, "intimidated her and asked for money."
Police arrested a 35-year-old man who's been in their custody since Tuesday. Three other men are still at large. Police are investigating the incident as a blackmail case.
This marks the second attack on the film's set. Last week, police arrested two men after they assaulted director Michael Bay and demanded he pay $13,000. Three intervening police officers were also assaulted.
"Transformers 4" is partly set in Hong Kong. The film stars Mark Wahlberg and releases next June.