There are three transport options for going from Hong Kong airport to Shenzhen.
1. By ferry
Please see my previous post here.
2. By bus to Huanggang
There is bus service to Huanggang from the Coach Station in Hong Kong International Airport’s Terminal 2. Huanggang is one of the important border crossings between Hong Kong and Shenzhen. At Huanggang, you can simply take a taxi to your destination in Shenzhen. For more details, check out here.
3. By bus and MTR to Lowu
If you want to go from Hong Kong International Airport to Lowu, another important border crossing between Hong Kong and Shenzhen, you can take the airport bus No A43 to get off at Sheung Shui Railway Station stop and transfer to MTR train. Sheung Shui MTR station is only one stop away from Lowu MTR station, from where you will go through the immigration and customs clearing. See my previous post here.