Is there a ferry to Macau Ferry Terminal in HK from Shenzhen Airport?

Sorry to tell you no ferry is available.
And you are suggested to take a ferry from Shekou port directly there.
First, take metro line 11 and transfer to line 2 at Houhai, and then get off at Shekou Port from D1. After that, you can take a free shuttle bus to the port.
The ferry leaves at 7:45, 12:00, 14:15, 16:45 and 19:15. It takes 2h 30 minutes and CNY120.