The Last Time I Saw Macao - João Rui Guerra da Mata (2012) - Caverna de Morcegos, Macau

The secret hideout of the mysterious gang that Da Mata is trying to find more information about is located inside a seacave and he takes a boat there. There's a brief reference to Macao (one of several) here as he notices a pair of stockings floating in the water and wonders if they are the same ones discarded by Jane Russell (there's scene in that film where she discards some stockings over the side of the ferry). Anyway, the exterior of the hideout is a real sea cave off the east side of Coloane and it's called the Caverna de Morcegos (second image) and we also see a bit of the rugged coastline there (a rare sight in Macau).