There is a left luggage office at the Hong Kong Airport Express station (on the same floor as the In-town check-in, right down the end farthest away from the CX check-in counters - i.e. from the check-in, past Starbucks and keep going - sort of hidden away behind the escalators going up to the shopping mall). From HK Airport Express station it is a 10 minute walk or a minimum fare (HK$15) taxi ride to the Macau Ferry terminal.

Details here: http://www.mtr.com.hk/eng/train/ae_aes.htm#hokstation

Google suggest that there are also left luggage lockers on the 2nd floor of the Shun Tak centre (which is where the Macau ferry terminal is), which is one floor below the ticket office. But the pages saying this are quite old and I don't know if this still holds true.