if my flight reach shenzhen airport at 00.05am, which transport can take to HongKong?

Oh, according to your arrival time, there is no bus or ferry that can take you to the destination.
So you are suggested to stay at a hotel nearby the airport and take some rest.
In the next early morning, you can take direct long-distance bus at the airport, and get to HK directly. The earliest schedule is at 08:00.