Now, this isn't 'the church', but the church that is opposite Chow Yun-Fat's apartment in Sai Wan, on the corner of High Street and Western Street. There's a shot in the film which looks up at the apartment, from the church steps, and it has since been replaced by a high-rise block.
This shot is taken from a deleted scene, where Danny Lee arrives outside the apartment, just after the gun battle.