US passport to Hong Kong and plan to visit Shenzhen

No, unfortunately, you cannot. The only option is to apply for a 5 day Shenzhen VOA directly at the border crossing (Lo Wu / Luohu the best one), but the main problem for this VOA is the price of 956 CNY for US citizens. Also, keep in mind that Shenzhen VOA limits you to Shenzhen city limits.

It costs the same as the 10 year multiple entry tourist L visa. Its advised to apply for visa in advance of travel

thank you for replying. Why is the 72 hours visa free option is not an option? Is it because 72 hour only for people travelling by air ?

1) 72 hours visa-free doesn’t exist in Shenzhen. Only 24 and 144 hours. 2) Visa-free transit in Guangdong is only available to arrivals by air. 3) You must be in transit to a third country (ie you can’t return to Hong Kong or travel onwards to anywhere in China outside Guangdong.

The 144h twov is an option for you, when you fly into Guangzhou (then you're eligible to travel within Guangdong province) and leave for Macau, for example by ferry (but you need a ferry ticket in advance).