I always find it funny how you'll always get a whole different set of responses to this problem depending on the gender of the OP.
Shyness is such a broad term and a few I've known to use the term to describe themselves are about as shy as a bull in a china shop. If you're shy to the point where you can't connect with someone or you're with someone who is very outgoing, then yeah, it's going to be a problem. If it is that bad(and I'm not assuming that it is), then there's nothing wrong with breaking up with anyone you either a) can't get close to or b) are two entirely different people.
When it comes down to it, if you think this is a problem for you, then work hard to solve it. If you want things to improve, then you've got to realise that you're not hopeless or helpless. Shyness isnt a fixed state of being that you can never change or improve upon, nor an integral part of yourself.
Philip Zimbardo has a pretty good book on shyness. If you get rid of the mumbo jumbo, some of the law of attraction stuff can help too, as can any work on improving self esteem.