At Macau Ferry Terminal, you could take a ferry to arrive in Shenzhen Shekou Port in Nanshan District in one hour. Then, you could take a taxi to your destination in 30 minutes. Of course, the taxi should be expensive~

For a cheap one, you could go to Zhuhai Gongbei Port from Macau firstly, and then take a bus here to arrive at Shenzhen Luohu District in 3 hours. Finally, take the subway or cab to get to Futian quickly. A long time journey~