It happens in other places in Asia as well, not only Hong Kong. It's quite uncomfortable to go from ~34C and 98% humidity, to an environment at ~20C and less than 50% humidity. I'm surprised people don't get more respiratory illnesses more often.
First it was hard for me and making me sick, but then I got used to it also.
For a westerner, it might be hard to imagine constantly living with high temperatures like that. And for example having to sleep everyday with such climate.