Finally able to create the horn antenna.
From the help video that come together with the CST installation, to build a horn antenna it is better to start with construct the rectangular waveguide as a solid rectangular object rather than combine 4 pecs sheet to form the hollow rectangular waveguide, than build another larger solid rectangular object as the aperture of the horn and then apply "loft" feature to join the 2 picked face of the two solid object to avoid joining hollow rectangular that bring many error due to too many faces. Finally, use the "shell" feature to "dig" the solid horn antenna to become a hollow horn antenna. It is really easy.
Thanks.