The Magpies 2010 premiership defender was last week traded to Greater Western Sydney in exchange for promising Giants midfielder Taylor Adams.
Shaw, who signed a lucrative five-year deal with the AFL's newest franchise, also admitted that his AFL career would likely have been over within two years if he had remained at Collingwood.
"I told them (Collingwood) I wanted to stay and they said they wanted to trade me," the 27-year-old told News Limited.
"I was pretty shocked and upset at that time.
"After it was done I didn't really want to speak to anyone, I went off-line for a few days just to take it all in.
"The process wasn't the greatest process to go through but now that it's done and dusted I'm really excited about the challenge ahead. I'm looking forward to getting to Sydney and getting stuck in to pre-season."
Shaw revealed he initially felt anger towards Magpies coach Nathan Buckley.
"Bucks has got a direction that he wants the club to go in. He wasn't my favourite person when the decision was made to trade me," Shaw said.
"He knows what he wants to do and to be honest I'm happy that the decision has been made. He sent me a message after the deal was done and I replied to it. It was pretty hard, I didn't ever think I would be in that situation.
"To be honest it's the best thing for me and it's the best thing for Collingwood. I'm always going to love the club and its people. My best mates have come from Collingwood and I've still got plenty there.
"I can't say a bad word against Collingwood because they gave me the opportunity. I won a premiership there with a great bunch of blokes and I'll always be able to share that."
Twitter: @AFL_BenCollins
