Increasingly, the importance of reflexivity has been acknowledged in higher education research. In this paper, I reflect on my experience of researching lesbian, gay, bisexual and transgender (LGBT) university students in Hong Kong. The focus is not on the findings that emerge from the in-depth interviews conducted per se, but on the methodological reflections of the research process itself. Particularly, I focus on the notion of "vulnerability" in the qualitative research literature which suggests that some study topics are particularly sensitive and some interviewees are especially vulnerable. I argue that because LGBT students in Hong Kong live under the governance of family biopolitics and the colonial legacy of religious dominance in secondary education, they are subjected to enormous social pressure to reject or conceal their LGBT identities. In that sense, they can be conceived as vulnerable interview subjects. However, LGBT students, especially those who are in the closet, redefined the interview as an occasion to ponder their identity struggles, and to release problems and worries that in everyday life they can share with no one. For some LGBT students, knowing of the very existence of the research itself and participating in the research were empowering. The LGBT students had the capacity to shape the meanings of the interview, thus, they were far from being completely vulnerable. Quite unexpectedly, I found myself as a researcher in a relatively vulnerable position, feeling emotionally overwhelmed by the research and feeling guilty of not doing "enough" for the LGBT students. This paper argues that although researchers need to continue to pay attention to the ethics of conducting culturally sensitive research, the vulnerability of some interview subjects should not be overestimated. Otherwise researchers risk further silencing the voices of those who are already socially marginalized. I also contend that qualitative research should acknowledge researchers' vulnerability.