It really depends on the kind of pollution, you are both right. Particulates and car fumes would be lower in outlying areas but there's nothing you can do about the smog that comes from China and HK's power plants. Levels of NO2 and SO2 are bad everywhere.
A high end air filtration system is a very wise investment to give your lungs a few hours of rest a few hours a day.
According to research at the University of Hong Kong, the air in Hong Kong contains almost three times more soot and other pollutants than New York's and more than twice of that in London.