You can always try the 151 Club on The King's Road. Not really a pub or a bar and vaguely reminiscent of Hitler's Bunker in the last days of WWII, but not bad if you don't mind having your wallet raped.
Just don't go in there in Mess Kit - as some people have in the past.
Honestly, head off down the King's Road or across T Square into town, Westminster is a nightmare. I've been drinking around there for years and have never found a decent late night boozer, well not one I'm sharing on here, anyway.
If you are in Charing Cross area, then head up to Covent Garden. There are lots of late opening places, and a few decent priced ones if you sniff around, from there you are also only 400 yds from Soho too.....