i am holding philippine passport and will go to zhuhai from macau do i need visa?

Yes, you need a visa to enter Zhuhai, which is in mainland China.
Re enter Hong kong? Have you been to Hong Kong before going to Macau? I'm not sure if you can re enter HK or not. Some one are allowed to do so; but someone is denied for they have re entered HK in a short time period. It depends on the officer. You'd better get a HK tourist visa to re enter, just in case of any trouble.