The bridge was more about diverting economic influence of HK's away from Shenzhen, than providing an economic benefit to HK.
Shenzhen's answer was building their own bridge to another bank of the delta with their own money. https://en.wikipedia.org/wiki/Shenzhen%E2%80%93Zhongshan_Bri...
Once Shenzhen–Zhongshan bridge will be operational, it will completely jeopardise Hong Kong–Zhuhai–Macau Bridge economically.
On top of that, there is a persistent rumour that there is a political will to do a tunnel to Nei Lingding island, and add another connection to Zhuhai from there (so called revived Lingdingyang tunnel.) This is also the very reason why Beijing has declared the tiny Lingding island a "National Level" natural reserve, thus depriving Shenzhen's officials jurisdiction over it.