Police said the 29-year-old-man asked them to investigate the case early yesterday at the apartment in Hong Kong's Wan Chai nightlife and red light district.
Hong Kong news reports said the man was a British national. When asked about the case, Britain's Foreign Office confirmed that a British citizen had been arrested.
According to a police statement, officers rushed to the man's apartment, where they found an unconscious woman, aged 25-30, with cuts to her neck and buttock. She was pronounced dead at the scene.
Police said they seized a knife at the apartment, located in Hong Kong's upscale J Residence building, a 40-story apartment tower. The man is being detained while police investigate.
Hong Kong, one of Asia's biggest financial hubs, is home to many foreign residents who work as bankers, lawyers, accountants and teachers.
The case is the most high profile involving an expatriate in Hong Kong since the 2003 "Milkshake Murder" case, in which American expatriate housewife Nancy Kissel was convicted of bludgeoning her high-flying banker husband to death after giving him a strawberry milkshake laced with a sedative.