In Hong Kong, men who have sex with men (MSM) account for a significant proportion of HIV infections. While perceived as a hidden population, they constitute a distinct social network shaped by their differential use of unique channels for sex partnership. To characterize their pattern of connectivity and association with high-risk sexual behaviors, 311 MSM were recruited via saunas and the internet to participate in a questionnaire survey. Internet recruits were younger, and many (31/43) were solely reliant on the internet to seek sex partners, while visiting a similar number of venues as the sauna recruits (p = 0.98). Internet users generally had a high frequency of unprotected anal intercourse (UAI). MSM who had visited only a single venue reported more UAI with their regular partners (adjusted OR 6.86, 1.88-24.96) and sought fewer casual partners than those frequenting multiple venues (adjusted OR 0.33, 0.19-0.60). This study provides evidence for the heterogeneity of the sexual affiliation networks of MSM in Hong Kong. High HIV risk of UAI could be offset by fewer casual partners in certain venues, the implications of which would need to be explored in longitudinal studies. Methodologically, internet sampling was very efficient in identifying sex networking venues, while internet recruits gave a high retention rate for updating profiles. However, sampling at high centrality saunas did not necessarily identify the MSM-affiliating venues in the networks efficiently. The sampling strategy of MSM survey should therefore be objective-driven, which may differ for health message dissemination and social marketing, versus HIV surveillance or risk assessment.