Can we avail coach from HKIA to Shenzhen via Shenzhen bay and return through shekou port by ferry?

1. Yes, coaches to SZ are available from HKIA and your route is correct. The bus schedules are from 06:50 to 22:30 with the frequency of 15 to 30 mins. It takes around 2.5 hours on the way.
2. About the return way, you cann't take the ferry from Shekou Port to HKIA unless you have intraday valid airline tickets. Check-in in Shekou is eligible for some airlines, so you need to check if yours is among them.