employer refuses to issue termination or release letter

I'm staying in hk based on working visa issued by current company. However I decided to change employer after almost 3 years working for them. After submitting one month resignation notice I asked my boss to give me the termination or release letter so I can start change of employer process at the immigration. My boss refused.
I submitted all the docs to the immigration except for the release letter, which I replaced with my resignation notice. However the officer didn't even accept my documents, saying that termination or release letter is a must.
I still have to work at the old company for 3 weeks and was hoping to settle the immigration issue before hand.
How can I force my old employer to issue termination or release letter or what can I replace it with so the immigration dept will accept my case?