144 hr Visa for Bangkok - Shenzhen - Hong Kog via Ferry

That depends on how long your layover is. If it's under 24 hours, then entering from Guangzhou is your only choice since Shenzhen doesn't allow people traveling to HK/Macau to enter without a visa when their layover is under 24 hours. If your layover is over 24 hours then both airports are fine.

Johh Doe, isn't the rule of 24 hours for Shenzhen also the same for Guangzhou? I'm afraid it is.

Also, I'm afraid that Chinese immigration could make a problem regarding the journey by ferry from Shekou port to Hong Kong airport because, legally, this is not a transit to Hong Kong since the user of this option is not entering Hong Kong at all, but is only in transit through Hong Kong airport.

Hey, the plan is to stay in China for around 3-4 days (weekend).

But therefore it would be better to travel via train to HK?

If you will be staying for more than 24 hours then you will have nothing to worry about.

Zupan: here is Timatic's exact text on 24-hour entry permit:
This TWOV facility does not apply at Shenzhen (SZX) when passengers are traveling to Hong Kong (SAR China) or Macao (SAR China).
Guangzhou is not mentioned here.

Also immigration does not care whether one goes to HK to catch a flight or not. The official rule only stipulates that one must leave from Shekou, nothing else.

Going by train can pose a problem given that Mainland Chinese immigration checkpoint on HK soil is not recognized as a valid port of entry/exit under the rule, so that excludes all Guangzhou/Shenzhen-HK high speed rail departures. Your only option is the slower Guangzhou-Kowloon through train which will be time-consuming when you are originating in Shenzhen.
To summarize you have two most viable options: either arrive in Guangzhou and take the through train to HK, or arrive in Shenzhen and take the ferry. If money is not a factor then you can fly Giangzhou-HK as well.

John Doe, thanks for your kind explanation. Essentially, I was a afraid that 24 hours visa free rule that forbids to all those who arrive at Shenzhen airport to continue to Hong Kong & Macau within that time frame is also valid for Guangzhou. Now, when I know that this is not the case for Guangzhou, this makes things much easier for all the travelers using Guangzhou airport and also allows them to behave as it was just a usual Chinese airport. Basically, only Shenzhen airport remains with this specific limitation. Good to know.

By the way, I was really concerned about the possibility that Chinese immigration could make problems regarding the ferry transfers from Shekou to HKIA because of the fact that a traveler really never enters properly Hong Kong as it is just in transfer from the moment of ferry docking at HKIA Skaypier until the very departure. I understand that you have told me that it is essentially important for mainland Chinese authorities that you are leaving the country at eligible port of entry/exit without caring of your status after that.

To conclude, Simon, you have several options and it is important for you to know that you have to book your ticket from mainland China to Hong Kong before your travel from Shenzhen. You can book your ticket through CKS - Chu Kong Passenger Transport Company website. You will get an e-voucher that will be just fine for your travel and you will exchange it for a real ticket upon arrival at Shekou port.

Regarding the details about the Guangzhou–Kowloon through train and details regarding this issue, just take a look at the post, just before yours, where it was explained to Rachel from New Zealand.

Hey John,

thanks very much for your explanation.
You are sure that the chinese immigration doesnt care "how" i get to HK? Because as ZUPAN said, with the ferry directly to HK airport i dont enter HK itself.

But the chinese immigration should be ok with it when i show them the ferryticket on arrival in Shenzhen? (regarding the 144hr visa, staying >24hr in china)

Again the official rule did not mention anything on entering HK. It merely states that you have to leave Mainland China on a ferry that departs Shekou terminal. If you are not confident that immigration will accept a ferry ticket to HKIA then just take the ferry to Hong Kong Island and take the metro from there to HKIA.

Also to avoid confusion, the correct term is 144-hour visa-free transit. Apparently someone had done this a week ago and immigration will accept a ferry ticket. However you must travel on the sailing indicated on the reservation.