The Rush Hour star told the Guangzhou-based Southern People Weekly magazine that he had been "bullied" by triads, or the Chinese organised crime societies, that were once powerful and thrived in the Asian financial hub.
"In the past, when they bullied me. I hid in the United States. They opened fire at me once I got off the aeroplane," Hong Kong's South China Morning Post quoted him as saying in the magazine interview published last week.
"From that moment on, I needed to carry a gun every day when I went out," said the Hong Kong born star, who has played a hero cop that took on crime lords in his hugely popular Cantonese crime action film series Police Story.