People come to Macau mainly for two reasons: To see the colonial buildings and for entertainment but mainly for entertainment. There are not a lot of malls in Macau. I think they have one or two. They have boutiques though. So if you're into branded products, it is great to visit Macau... and of course if you didn't mind the price as well.
People usually go to The Venetian for entertainment. The Venetian is a resort located near the Macau International airport.
How to go to The Venetian?
If you're coming from Senado Square, you may take the bus no. 3. It will take you to the Fisherman's Wharf, at the Jetty Point. It takes about 20 minutes to get there from Senado Square. From the Jetty Point, there are shuttle buses that go to The Venetian. Again, to go to The Venetian, you can either go to Cas1n0, or just walk around the Shoppe, which is the shopping mall.