I am arriving from the hongkong airport and then I have another flight in Shenzhen Bao'an aiport,

Yes, direct buses between the two airport exist. You can easily find the Service Counter of the buses, which are operated by SZIA Kowloon Chung Trans-Island Company, at both of Arrival Hall A and B. Buses are scheduled from 07:40 to 18:40 every an hour and it costs 180HKD. It takes around 2.5h.

Except that, ferry is also available for this journey. Ferries from Skypier near HKIA to Bao'an Airport leave at 11:20, 14:45 and 17:30. It takes only 40min. You can directly catch the ferry without going through the immigration.

Thank you! The bus takes too long I am afraid I loose my flight! Do you know if taxis or private cars are really expensive?

For reference, the fare is about 1,000 HKD to 1,200 HKD.
You can easily get a private car or a taxi outside the airport. And the exact price usully depends on the car type you choose.