You might want to consider these:

Sand River, located in Nanshan, not far from Windows of the World.

http://www.srgc.cn/english/gbhtml/intro/dongshizhang.htm

The Gold Course by the airport. Sadly named "Tycoon Golf Course"

http://www.tycoongolf.com/en/index.php

The famous Mission Hills
http://www.missionhills.com.hk/en/default.html

The Shenzhen Golf Club, is located in Futian, close to Xiang Mi Hu, on Shennan Road. I am not sure if it is open to public play. I do not have a web site link for them.

Have Fun!