I'm not an immigration lawyer nor have I played one on TV.....
In 2011, I flew from Europe & spent a week in Hong Kong. On arrival, I was issued with a 30 day tourist visa.
One day, I decided to go to Macau. Arrived via helicopter, passport stamped on entry.
Leaving the ferry/helicopter terminal, I found a bus to Border Town. Not knowing which border they were talking about, I jumped on the bus.
Not knowing where the Border Town bus stop was, I remained on the bus & was halfway back to the ferry terminal before I realised.
After walking around & getting a taxi, I found Border Town. The bus terminal was below ground. If I got off the bus there, I would have been there a couple of hours earlier.
I saw what looked to be happy looking Chinese people walking into this big building with shopping & a large screen giving statistics about entries & exits.
Not knowing where I was going, I went to an information lady & asked where all the people were going. She said that they were going to China. I asked how they would get there? She said that they'd walk there. I asked if I could walk there & she said I should check with Customs.
With everything in Hong Kong & a ferry trip booked to take me back, I asked a Customs officer for advice. He said that he couldn't tell me about the Chinese side but said that if China let you into the country, Macau would let me back in there.
Armed with that info, I walked out of Macau, getting my passport stamped on the way out.
Walking the 500m or so between the Macau exit & the Chinese entry points was strange. I saw an occasional sign in English about a visa but not much else. I went into the special needs line & asked for help. I was advised to go upstairs to the visa office.
So I walked upstairs to the visa office & was told that the visa entry price was 129 yuan (from memory) - yuan only. No credit cards or Hong Kong dollars accepted. Stuck in no man's land between Macau's exit & China's entry, I tried to get some Chinese currency. The duty free store was useless but there was a lady in a hut providing currency exchange.
So I got the yuan, got the 3 day tourist visa for that immediate area only (not valid for travel to Shanghai or Beijing) & got welcomed to China.
I spent about 90 minutes in China & then returned on foot to Macau, cross town to the ferry terminal by bus & then back to Hong Kong by ferry.
Apart from applying for the visa in person, there was no real questioning of intentions or future travel.
There ends my story about walking to China.