Photo-generated dynamics have been extensively studied in two-dimensional (2D) heterostructures, such as MoSe2/WSe2 and MoSe2/MoS2. Here, we fabricate few-layer PbI2 and monolayer MoSe2 van der Waals (vdW) heterostructures. The excited-wavelength dependent measurements of photoluminescence (PL) and transient dynamic absorption spectra show that there is almost no photo-generated charge transfer between PbI2 and MoSe2. PL changes of MoSe2 are rather dominated by the Fermi level (EF) modulation through the interlayer charge transfer. Density functional theory calculation shows that binding energies in the heterostructures of MoSe2/WSe2 or MoSe2/MoS2 are 2–3 times higher than that of the MoSe2/PbI2 heterostructure, suggesting the weaker interlayer coupling between MoSe2 and PbI2. We propose that the weak interlayer vdW coupling cannot drive the photo-generated interlayer charge transfer while the EF modulation can be achieved through the interlayer charge transfer. The findings will be helpful to fundamental research and applications for novel optoelectronic devices based on 2D material vdW heterostructures.