Just tell them that you live at 627 Canton Road -the police station for YTM.
a few years back, I got a call from a man, who claimed to be Hong Kong police, I got suspicious, asked him for his name/badge number/designation/posting location and phone number to call back.
I called back.. and guess what..
He was real police
So if in doubt, ask their designation, posting location and phone number etc, and call back at the main phone number of the Police station where they are posted and ask for their name.
those gang are targeting Mainlander and new immigrants, normally a local HK people won't sending out several to hundreds thousand of dollars after receiving a cold call