I'd suggest you use Baidu or Google to find some there. Spaces seem to be popping up all over China. Shenzhen for sure. Some may be very local but they'd probably be very open to foreigners.
Remember the Shenzhen SEZ (Special Economic Zone) is a long rectangle. So, you may have a long subway ride. So, try to find one near your district -- Luohu to the east, Futian in the middle and Shekou (closer to the airport) in the west.
I've asked a few groups on WeChat and will post any good recommendations. (You may want to install and use WeChat in China -- it's LinkedIn, FB, Twitter, YouTube and an email killer there).