i get my ticket stated shenzhen to guangzhou east.

Well, yes the Shenzhen MTR can take you from Shaibu to Luohu MTR Station. Actually, Shenzhen Railway Station is the same as Luohu Railway Station. So upon your arrival at Luohu MTR Station, you can walk to the railway station very fast. But the MTR station is not the railway station.

so after arrive luohu MTR station, i need to walk to shenzhen railway station to get to Guangzhou, isn't it? is it walking inside the building?

Well, yes. You can get out of the Luohu MTR Sttaion form the Exit C. You can walk upstairs for one floor to Shenzhen Railway Station. So the MTR station is located at the underground of the railway station and youc an walk there in walking distance.
After that, you can take a traain to Guangzhou.

I get it, thank you, Mindy.. Have a nice day