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Currently, I'm living in HK. But I am Chinese and I know nothing about Cantonese which is the mother tongue of Hongkongers. So, I feel lonely here and I don't think I belong here.

So, can I say I don't have a 'sense of community' in HK?

If not, what phrase should I use?

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Hello. That is a perfect expression of your feelings. A sense of community means a feeling of belonging. I hope you develop a community soon. :) – medica Jan 10 '14 at 5:54
There is a possibility of the sentence being mistaken to mean that it is you do not have the attitude of belonging in the community -- according to the currently accepted definition of the expression 'sense of community' -- it does not mean what you intend to convey. Try another phrase instead. – Kris Jan 10 '14 at 6:57
What you mean is that you do not get a sense of community -- however, I feel one should avoid the confusion and use a better term. – Kris Jan 10 '14 at 6:59

Your expression:

I don't have a sense of community in Hong Kong

works absolutely fine and is quite natural (I think people from Hong Kong use the abbreviation HK -- but in AmE (my dialect) it is not used).

That being said, I don't know if it's the best way to express the feelings you describe after that. So I will offer a few further possible expressions and try to point out the nuances I take each to have.

I feel lonely here.

I'm having trouble connecting with people in Hong Kong

Your expression regarding sense of community to me emphasizes that you do not have a core group of friends or ties to the community there. If I were me saying it or hearing it, a yet on the end would give it a mood that you expect that to change (i.e. optimism).

If you say more bluntly that you feel lonely, then it would give me the expectation that you don't expect this situation to change with time.

If you want to emphasize that language and other elements are creating a barrier, then I would recommend the having trouble connecting expression.

Given your remark that I don't think I belong here (which to me implies that you don't expect to acclimate), I might prefer the construction:

I feel isolated here and I don't think I can connect with people in Hong Kong since their culture and language differ from my own.

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