There seems to be no ferry from Shenzhen airport to the city center of Hong KOng by ferry. The schedule had been cancled and I don't think it has reopen now. You can only get ferry from Shenzhen Airport to HK Airport. So, the other ways left sounds similar. There is direct shuttle bus there to Hong kong, although it may take some time while passing the border. It is faster to take train at Shenzhen Train Station to Hung Hom, Hong Kong, but you should take airport bus from the airport to Shenzhen Train Station first, which will take about one hour. Limousine is available, but I am not clear about that.