The partial remains of Chau Wing-ki, 64, and his wife, Siu Yuet-yee, 63, were found in an apartment Friday, the South China Morning Post reported.
The discovery came after police picked up the couple's 29-year-old son. A 35-year-old man also was taken into custody. Their names were not reported.
The newspaper said the couple's heads were found in the refrigerator and investigators recovered parts of three arms and four legs from the apartment.
The victims' torsos had yet to be found. Some body parts had been dumped in the sea, the source told the Post.
Police also found a chopping board, saws and knives.
"Everything could be evidence," a police source told the Post. "We have to check everything ... carefully."
Police believe the couple were killed March 1.
"We have reason to believe the flat was the site of the killing," police Senior Superintendent Eddie Ma Chi-kin said. "We are now investigating the motive."