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Law said the video was recorded Friday.
"I'm not going to try and pretend it's not dangerous," Law told 9News.com.au. "It's highly risky and one mistake will cost you your life.
"But saying that, I don't actually worry about the dangers because I trust my abilities and I will never put myself in a situation I'm not 110 percent confident with," he said.
Law said he did not receive any sort of permission for his climb.
"There is absolutely no way you'd ever be granted permission to do something like this," he said. "I always do my climbs on public holidays, Sundays and very early mornings to avoid being seen and disturbing anybody."
Victoria Police said they are investigating the video.