There are some people who are shy while there are also others who are socially anxious. People who are shy may take time to warm up to people, but the moment that they do, their feelings of nervousness will subside eventually. Those who have social anxiety will notice that their feelings of nervousness and shyness will usually increase the more that they are exposed to the setting that they are not comfortable in.
There are some people who are naturally shy while there are also others that have developed their shyness or social anxiety because of the negative experiences that they have had before. Even genetics can be a factor.