we want to go hkg from shenzhen air port my flight arrived at 9 pm

I am afraid that there is no bus or ferry service after you landing. So, you may take metro Luobao line to Luohu Station, and cross the border at Luohu Port. Next, take MTR East Rail Line to Hung Hom Station. Then, take bus line A21 to the airport.
Or stay overnight at Bao'an airport, and then take a ferry or coach to HKG directly next morning.