Background: Only few studies have studied the link between risk perception and sleep in the context of the COVID-19 pandemic. This study investigates the effect of two distinct risk appraisals—risk perception and perception of collective coordinated defense (PCCD) on Chinese adults’ sleep quality during the COVID-19 pandemic, and tested COVID-19-related fear and rumination as potential mediators of the relationships. Methods: Data were collected using a self-report online questionnaire from a sample of 224 Chinese adults during the fourth wave of the COVID-19 pandemic in Hong Kong. Results: COVID-19 risk perception and PCCD were related to poor sleep quality. Mediation analysis showed that both fear and rumination mediated the relationship between risk perception and sleep quality, whereas only fear mediated the relationship between PCCD and sleep quality. The model showed an excellent fit to the data and accounted for 44% of the variance in sleep quality in Chinese adults. Conclusions: This study demonstrates the distinct perceptual processes—risk appraisals in particular—contributed to poor sleep quality in Chinese adults during the COVID-19 public emergencies. These findings would be helpful for policy makers to address the sleep problems induced by psychological consequences of the pandemic.