How can I go from Dongmen (gz) to Shekou ( ferry to Zhuhai) or any coach ? What is the fare?

You must refer to Dongmen Pedestrian, Shenzhen, don't you? Well, if so, you can walk to the nearby Laojie MTR Station to take subway Luobao Line to Window of the World Station, where you need to transfer to subway Shekou Line to Shekou Port directly.
The whole journey costs you CNY10.