Photo-generated dynamics have been extensively studied in two-dimensional (2D) heterostructures, such as MoSe/WSe and MoSe/MoS. Here, we fabricate few-layer PbI and monolayer MoSe 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 PbI and MoSe. PL changes of MoSe are rather dominated by the Fermi level (E) modulation through the interlayer charge transfer. Density functional theory calculation shows that binding energies in the heterostructures of MoSe/WSe or MoSe/MoS are 2-3 times higher than that of the MoSe/PbI heterostructure, suggesting the weaker interlayer coupling between MoSe and PbI. We propose that the weak interlayer vdW coupling cannot drive the photo-generated interlayer charge transfer while the E 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.