She has been in a relationship with Tony Leung Chiu-wai since 1989. The couple married on 21 July 2008 at the Uma Paro resort in Bhutan. The wedding itself cost more than HK$30 million and Lau's Cartier wedding ring is worth over HK$10 million. Guests included singer Faye Wong who performed for them on their special day. Hong Kong director Wong Kar-wai also directed the ceremony. The wedding created a media frenzy in Hong Kong, with companies spending hundreds of thousands of dollars to pursue the wedding party.