Swimming is possible all throughout the city. Most good communities in fact have a swimming pool. That one might be hidden behind a gate or on top of a shopping mall, so you would never know even when you passed it daily. Some of these community swimming poolsare just open for non-residents. Best to ask around in your neighbourhood. The price of the swimming pool next to our appartment building is 20Y/2 hours, quite expensive I think. I'll list some addresses of other swimming pools in Futian and Nanshan on this page later.

If you prefer to swim in the sea, I would advice you to go to the east of Shenzhen. The water close to the city is way too polluted to swim and there are no good beaches anyway. In the east of Shenzhen there are several good beaches, some are public (dameisha beach) or private (xichong, judiaoshi beaches for example). Quite nice over here, and good places to go surfing, play volleybal, or just lay on the beach.