Tsui, who was an avid sportsman, was an Oxfam Trailwalker, participated in marathons, and also liked paragliding. Unbeknownst to his wife, he would go to Mong Kok and Shenzhen weekly to frequent massage parlours, karaoke bars, and prostitutes. Also a habitual heavy gambler, Tsui was known to have made a HK$75,000 wager on Japan to win the 2004 Asian Cup final at odds of 2.8:1 on 7 August 2004.