Shenzhen airport to Kowloon

Yes, there are ferries from the airport to HK - Macao Ferry Terminal. When you arrive at the ferry terminal, walk to Sheung Wan MTR Station and take Island Line to the Central.
Actually Kowloon covers a large area in HK. If you exactly refer to Kowloon MTR station. At Central station, you can walk through the underpass to HK MTR Station, transfer to Tung Chung Line and get off at Kowloon.