What time should i leave hong kong if my flight at shenzhen airport is at 3:45 am?

It depends on which transportation you will take. And you need to reserve one hour at least for the boarding procedures in Bao'an airport and that means you must arrive at Bao'an airport at 01:45am. You are advised to get to HK airport at first wherever you are in Hong Kong.

If you take the ferry from HK airport to Bao’an airport, you have to catch the last ferry departing at 19:00 in HK airport. You will get off at the Fuyong Port and then you can take a shuttle bus. If there is no bus running at that time and you can take a taxi within 10 minutes to Bao’an airport. The whole trip may take about 1.5 hours. So you may get the Bao’an airport at 20:30. And you have to wait for about 5 hours for boarding. But it is much safer and won’t miss the departure flight.