The Z visa (working visa) only can be applied in the country of origin.

Hi, the company I am applying to work for has told me the Z visa (working visa) only can be applied in the country of origin. Is this true? They said I have to send my passport back to the country of origin (UK) and have the Z visa processed there. I don't want to be without my passport, so can anyone help me? Many people have said I can get my visa in Hong Kong, so why would the company want me to send my passport?