One is that your household registration is not in Shenzhen, and social security from other places cannot be transferred to Shenzhen social security institutions. According to the Regulations of Shenzhen Special Economic Zone on Social Endowment Insurance for Enterprise Employees, the social insurance relationship from other places cannot be transferred to Shenzhen before the registered permanent residence moves to Shenzhen.
In another case, if your household registration has been moved to Shenzhen, the pension insurance paid in other places can be transferred to Shenzhen, but at present, Shenzhen does not accept housing provident fund.