Hong Kong imports a lot from the mainland: food, energy, water... of course those don't come for free and Hong Kong is simply able to pay more than other cities in the region. In 2009, the Hong Kong government offered to reduce water consumption when Guangdong was hit by a drought, but that offer was rejected, probably because selling the water to Hong Kong was so much more profitable.

So it's not exactly altruistic support, but the economic entanglement means that if the mainland decided to embargo Hong Kong, the effect would be devastating.