Fly in Macau - Fly out of Shenzen

I am thinking of flying out of Shenzen airport going back to the Philippines. Do I still need a visa if I will stay in Shenzen for less than 24 hours?

This will be my route:

Fly in Macau - stay for 2 days
Cross Hong Kong - stay for 4 days
Exit from Shenzen airport going back to Manila - stay for less than 24 hours