At the event, Feng sent her a white drone carrying a diamond ring before getting on one knee to ask her to marry him.
She said "yes" amid tears and applause from a crowd of onlookers at the party.
The day after the proposal, Ziyi posted a picture of fireworks on a social media account with the words "I do".
Feng is a popular rock star in China and has been married twice before.
Ziyi has starred in almost 30 films, including the 'Grandmaster', 'Memoirs of a Geisha' and 'House of Flying Daggers'.
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