Tough choice. Just a few things to consider:-
HK can be quite good for retirement if you have a property and savings to live off: cheap health care, cheap public transport and taxis, convenient and easy to see friends, family in same city, domestic helpers, family orientated culture that respects the elderly (I expect grandparents in HK on average see more of their children and grandchildren than elderly people living in many other cities).
Assuming you don't have children yet, schools, air quality, lack of space and outdoor lifestyle etc may cause you to reconsider the HK vs elsewhere equation in a few years.
It might be easy for you to get citizenship in another western country now, but don't assume that will be the case 10-20 years from now. I believe the threshold for investment visa in some countries is already rising and it is likely to be harder, rather than easier, 10 years hence when more rich Chinese are competing for limiting number of places. Even work visa may become more difficult once you are in your 40s and 50s, depending on your work experience.
Finally, obviously HK is changing fairly rapidly and so you should be comfortable with it becoming less politically free and more similar to the mainland. Not just in terms of freedom of speech and politics, but also ultimately internet access, general governance, food and building safety, reliability of police and legal system etc. Also while it does not seem likely in the near future, if there is a big upheaval north of the border - mass public unrest, a coup d'etat, civil war etc - then HK will be engulfed by it. On the otherhand, if you are an optimist, then HK will be the financial center of the greatest country in the twenty first century, but it is prudent to consider a variety of future scenarios.