At Shenzhen Pingan Li Yi would quickly establish himself with the team and at the end of the 2000 football league season he would score 9 goals from 21 appearances. During his time at Shenzhen he experienced significant success winning the Chinese Super League in 2004 as well as playing a significant role in the Shenzen team that reached the semi-finals of the 2005 AFC Champions League by scoring two critical goals in-game and the third goal in over time, for a 3–1 win against Al-Ahli (Jeddah) of Saudi Arabia and being their top goalscorer with 5 goals. Within the tournament unconfirmed comments on the internet about Li claiming his ball shielding is similar and comparable to FIFA World Cup winner Thierry Henry, made him a target for much criticism from home fans. Viewing his off-field comments as pretentious he earned a nickname Imperator Li Yi the Great, and eventually became an Internet meme among Chinese netizens. In fact, Li never said such words. He did mention Thierry Henry after a 2005 AFC Champions League group stage match which Shenzhen beat Suwon Samsung Bluewings 1–0 at home. He said that he shielded the ball in the corner flag area in the injury time to ensure the victory, just like Thierry Henry did. The medium misrepresented his comments because they believed that saying Li's ball shielding was comparable to Thierry Henry can be more attracting.