1. Shenzhen is sort of a tech center of Southern China so it requires good and new infras
2. Local governments are economically and politically encouraged to build infra (Google 土地经济) in general
3. Infra is built faster and cheaper in China so Shenzhen is not an outlier. Usually it starts with some planning to build a line in a remote area (to save buyout costs) -> line gets built -> other infrastructures including super markets, post offices, whatever get built -> apartment buildings get built -> government gets paid back by taxes collected from real estate companies, super markets and other expanded economy entities
4. Some cities actually lost the bets on building new infras and this created a whole range of issues (Google 地方债 and 地方融资平台公司债)