I've try to search and found this link, but Ctrl+Alt+Shift+D doesn't work.
I also use find Action Ctrl+Shift+A to find action about diagram and uml but found nothing.
I also search for the uml plugin, but most of them didn't work with new version of intelliJ (I didn't try it I just read the comment).
I found a free plugin that can generate class diagrams with android studio. It's called SimpleUML.
Update Android Studio 2.2+: To install the plugin, follow steps in this answer: https://stackoverflow.com/a/36823007/1245894
Older version of Android Studio
On Mac: go to Android Studio -> Preferences -> Plugins
On Windows: go to Android Studio -> File -> Settings -> Plugins
Click on Browse repositories... and search for SimpleUMLCE
(CE means Community Edition, this is what android studio is based on).
Install it, restart, then you can do a right click on the folder containing the classes you want to visualize, and select Add to simpleUML Diagram.
That's it; you have you fancy class diagram generated from your code!