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.