I am Chinese. My husband is Irish. We are living together in China. When I apply for the EEA family permit. Do we need to provide any financial support documents ?
No. As an EU citizen, your husband (currently) has the (almost) absolute right to move to the UK and bring his family with him. Obtaining an EEA family permit is required to be quick, easy, and cheap.
Notes on parenthesized comments:
"Almost": There are a few exceptions; the UK can decide to exclude serious criminals (although I believe it currently doesn't).
"Currently": It is hard to believe that you haven't heard about Brexit. Nobody knows at the moment what will happen after Brexit. If you have all moved by 29th March, you will probably be OK even if a no-deal Brexit happens. If a deal happens, you need to move by the end of the transition period (currently end of 2020).
You are in a particularly strong position in that your husband is Irish. Even after Brexit, it is very likely that Irish citizens will have the same immigration rights to the UK as UK citizens. Sadly, that means you will need to demonstrate that he can support you (and the application will be much more expensive).