Having been to both, HK is much cheaper and has a wider selection. Thailand is a great country but the luxury goods market is limited - not as extensive as in HK where there are at least 6 Chanel boutiques that I can think of offhand.
HK could be cheaper that the U.S. if they still don't charge tax.
Also, when I was in BKK in 2006, the Chanel Boutique was not even built yet in the I believe Paragon Center.