KUL-HKG , International Airport directly by metro to Shenzhen

For HK or mainland China? Malaysians visiting HK are exempted for 90 days. You may apply for a single-entry Shenzhen VOA for 5 days at the HK-mainland China border but it does not allow you to leave Shenzhen. To travel other than that you will need an entry permit.

Thanks for your help, but I would like to go to Macau from Shenzhen, is there any problem? because you said just now I need an entry permit, did you mean if I want to go to other places in mainland china I need an entry permit?

Is there any problem related to visa, or I need to consent about if I want to travel from HKG to Shenzhen and then to Macau back to HKG?

The Shenzhen visa authorizes travel within Shenzhen only. If you got caught by immigration/police outside Shenzhen (including the border with Zhuhai) you will be detained or fined.

Ady, you can travel from HKG to Shenzhen and then to Macau, after back to HKG. You don't need to apply for a visa in advance if you don't visit other Chinese cities.