Transport from Shenzhen to Macau at the night

You can take ferry at Shenzhen Shekou Port, and get to Macau directly. The schedules are from 08:15 to 19:30 with the interval of around an hour (for Maritime Ferry Terminal).
The trip takes around an hour. And the ticket fare is MOP 238 per person.

If you departs late, I know the last bus to Zhuhai leaves at 21:00. By that, you can get off at Gongbei Bus Station. Walk to the customs house to cross the border to walk into Macao.