Flight to Shenzhen but staying in Hong Kong

So I really really want to visit HK. I'm from Italy so I don't need a visa either for China or HK. A flight to Shenzhen costs about 500 euro less than HK. Is there a reason why I shouldn't buy ticket to Shenzhen and then go to HK and stay there for a week before going back to Shenzhen to catch my flight back home?? I read it should be quite easy to cross the border, but I'm afraid I'm missing something.