The force said on Friday the four suspects were arrested hours after officers received the call at 10.43am on Thursday from the man who said he was being attacked and pursued.
The four were believed to have attacked the victim earlier in a unit at Hanway Commercial Centre on Dundas Street in Mong Kok. The man appears to have escaped and gone to the rooftop on the 22nd floor before he fell. He was certified dead at the scene.
A man surnamed Ho, 42, was arrested on suspicion of conspiracy to wound.
Another two men and one woman, aged 26 to 33, were later arrested on suspicion of wounding at 7.40pm in Tuen Mun.
The arrestees all know one another, but their relationship with the deceased man, 41 and surnamed Kwan, as well as the reason for the attack, is still under investigation according to police.