Paramount, the studio behind "Transformers: Age of Extinction", said a man who was apparently under the influence tried to attack Bay and others, using an air conditioning unit as a weapon.
The man swung the appliance at Bay's head, but the director dodged the blow.
Initial reports indicated that the director sustained minor injuries, but both the studio and Bay said he wasn't hurt.
Bay wrote about the incident on his website, saying it took seven men to subdue the attacker.
"It was like a zombie in Brad Pitt's movie 'World War Z' - he lifted seven guys up and tried to bite them," Bay wrote. "After that, we had a great day of shooting in Hong Kong."
The production company said police arrested the man and two of his companions, and no one on the set was injured.