The warning came as protesters clashed with police across the city on Tuesday.
At the Chinese University of Hong Kong, police fired tear gas and rubber bullets at protesters who built barricades on the campus.
Earlier in the day, around 1,000 protesters rallied in central Hong Kong during the lunch hour blocking roads
Protesters, wearing office clothes, were seen chanting: "Fight for freedom, stand with Hong Kong!"
The demonstrations come just a day after the territory saw a marked escalation in violence, with police shooting one activist in the torso. A pro-Beijing supporter was set on fire by anti-government protesters.
The protests started in June against a now-withdrawn plan to allow extradition to mainland China, but have since morphed into wider demonstrations, with activists demanding greater democracy and police accountability in Hong Kong.