Shyness in gambling is good. Old gambler will never shy because they are addicted and they don’t know shyness.
You'll feel shy if you lost a lot for quite a while and you have been seen by other gamblers, that's one type of feeling ashamed as a gambler.
This is an inevitable feeling by old and new gamblers.
For new gamblers shyness is good because this may cause stop them from gambling regularly and not to play anymore.
You won't be shy if you are gambling online and alone in your home. You'll feel only shy on yourself when you are using others money for your sake.