Many who watched the premiere in Beijing say they are confused by it as it is not like an ad.
"I call it a movie. I'm very proud of it. It's a piece of art. It's a concept revolution. It's quite different from a traditional ad," says Refn.
The aim of the ad is to impress people and get noticed, other than being liked by the public, says Thomas Moradpour, global marketing director of Hennessy.
It has a virtual reality version, which should be seen using a headset. It was also produced by Refn's studio.
Refn says the new technology just offers different possibilities to filmmakers and a completely different experience where you can create an artificial world.
But whether the mainstream of the industry will accept it remains to be seen as the technology is still in its infancy.
Refe says he wanted to visit China to do a film a few years ago when he was in Los Angeles making his latest film.
He is very interested in doing a film in China and his team has begun do research on what to shoot in China.
"China is very interesting for me from many aspects. It has fluid sensibilities of the spiritual world and the world of science. I felt the energy when I arrived and I saw the willingness to change. What's happening here is very exciting," says Refn.
Although he has long wanted to do a movie using Chinese culture and he has general knowledge of the Chinese film industry, he says it sounded "surreal" when he got a phone call telling him that a Chinese company had bought The Neon Demon.
Refn's latest film, to be released later this year, is a horror movie about a model who moves to Los Angeles and is devoured by a group of beauty-obsessed women who will use any means to get what she has.
Unlike his previous films, which are all about men, this one has a female-dominated cast.
"Women will feel more frightened than men when watching it," he says.
