Lam was speaking at a weekly news conference as another independent online outlet, Citizen News, ceased operations in the face of what it described as a "deteriorating" media environment.
"This morning I read news about, because of the closure of online medium, press freedom in Hong Kong faces extinction ... I just could not accept that sort of allegations," Lam said, adding that nothing was more important than rule of law.
Hong Kong returned to Chinese rule in 1997 with the promise that wide-ranging individual rights, including a free press, would be protected. But rights groups and some Western governments say freedoms have been eroded, in particular since Beijing imposed a national security law on Hong Kong in 2020.