Shenzhen is very close and you can go by Bus or Ferry.
Although the Bus is cheaper ~$100hk, the Ferry ~$200hk is much more convenient because you don't have to go through Hong Kong border control. There are 2 ports in Shenzhen depending where you want to go.
Go straight to the Ferry transfer desk before passport control and they will even get your bags from the belt and put them on the ferry.
Go to Guangzhou by Bus from Shenzhen, then back to Hong Kong city by train from Guangzhou ~180RMB.

http://www.hongkongairport.com/eng/transport/transport-connection-with-mainland-china/ferry-transfer/ferry-schedule/ferry-to-prd-ports.html