I'm going to macau for one day trip from shen zhen. After that, being back to malaysia.

Hi, where are your departing from Shenzhen? If it is the airport, you can go to the nearby Fuyong Port to take a direct ferry to M. The whole journey takes about an hour.
If you are in the city center, I suggest you go to Baoan BusStation or Luohu Bus Station to take a direct bus to Zhuhai Gongbei Bus Station. Upon arrival, you can directly cross the Gongbei border to M. The bus takes about 2.5-3h in total.
Venetian, Ruins of Saint Paul's, Largo do Senado and Lisboa Casino cannot be missed there. The public bus can be ok for your trip.
Don't worry! There are free shuttle buses to the airport from Lisboa Casino. So you can take the free shuttle bus to the airport.