The star of Ang Lee's award-winning Crouching Tiger, Hidden Dragon said she was happy to receive the award in the place where her career started.
"I hope it's not their way of telling me that I need to retire," Yeoh joked.
The Chinese melodrama Mystery was named best film at Monday's event, which also saw two stars from the Philippines take home the main acting prizes.
Nora Aunor, 59, was named best actress for Thy Womb, while 87-year-old Eddie Garcia was named best actor for Bwakaw.
Garcia, who said he was "elated and honoured" to be recognised, also received the People's Choice award for favourite actor.
Japan's Takeshi Kitano was named best director in absentia for his latest crime thriller, Outrage Beyond.
Speaking to reporters ahead of the ceremony, Yeoh revealed she had long heard rumours of a Crouching Tiger sequel but had yet to see a script.
'Very privileged'
Recent reports have attached martial arts star Donnie Yen to the project, and Yeoh said she would welcome the opportunity to work with him if a sequel was made.
Yeoh appeared in the 1997 James Bond film Tomorrow Never Dies and was recently seen playing the Burmese politician Aung San Suu Kyi in film biopic The Lady.
The actress said she studied the pro-democracy leader and Nobel Peace Prize winner for four years in preparation for the part.
"I've worked with truly the best of directors, not just in Asia but around the world,'' said the 49-year-old actress.
"I do believe that the harder you work, the luckier you get and I've been very, very privileged."
Yeoh was welcomed on stage by a quartet of Asian cinema notables, who played "paper, scissors, stone" for the honour of presenting her with her prize.
After two rounds of the traditional elimination game, martial arts star Sammo Hung ended up beating Hong Kong director Mabel Cheung and the action choreographers Yuen Woo-ping and Corey Yuen.
Michelle Yeoh has been honoured with the Excellence in Asian Cinema award at the Asian Film Awards in Hong Kong.