Try enclose \cite{hong_groups_2004} in an extra pair of curly brackets ({}), without those, soul may do funny things with the \cite-command:
\documentclass{article}
\usepackage{color,soul}
\begin{document}
\hl{A statement {\cite{hong_groups_2004}}}
\end{document}
Section 2.1 and 2.2. in the manual describes some problems and possible solution. In addition, I suggest that you use the more robust soulutf8 by Heiko Oberdiek to avoid possible future errors. With soulutf8, it is possible to use utf8, which is a must if you use other languages than US English.
New MWE:
\documentclass[UKenglish]{article}
\usepackage[utf8]{inputenx}
\usepackage[T1]{fontenc}
\usepackage{babel}
\usepackage{color,soulutf8}
\begin{document}
\hl{A statement {\cite{hong_groups_2004}}}
Normal text.
\hl{Highlighted text with æøåÆØÅ}
\end{document}
Edit: If the additional pair curly brackets ({}) does not solve the error, try to enclose the command in a \mbox{} instead, i.e. \mbox{\cite{hong_groups_2004}}.
My best tip is to read the manual subsection 2.3.1 to see if you recognise some of the borderline cases described there. This may give you some hints regarding possible solutions.