Do i have to go through hongkong immigration while going from shenzhen to HKIA by ferry

Hi,
I am an indian national arriving in HK to travel to Shenzhen. My return flight is also from HKIA. I have my Chinese visa but not a HK visa. Can i use the ferry service to travel from HKIA to shenzhen and vice versa on the return date? Do I have to go through HK immigration while travelling back from shenzhen to HKIA by ferry