Arsenal, United and City secured crucial victories at the weekend and will seek to pick up three points once more this week as the title race heats up in the final 10 games of the season.
City sit five points behind leaders Arsenal who have cruised at the top of the league so far this season. United sit far behind but still have a chance to catch up after finding form under interim manager Michael Carrick.
Speaking to the BBC, Premier League winner Shearer revealed the mentality of those fighting for the title and how teams want to be chased.
"It's better to be chased. When you are at the top of the league it's in your hands and if you keep winning your games, as difficult as it is, the teams that are chasing you don't have any answers.
"It does depend on if you have been in that position before. In my second year at Blackburn we were top or second, it was slipping and sliding backwards and forwards. But because we had not been in that situation before and Manchester United were a team that had been successful then it was more difficult for us.
"The season after we were mostly top of the league but United were closing us down. They were saying and doing everything they could, including getting the correct results when we slipped up, and we found it difficult but we managed to find a way."
City and Arsenal will face each other in the Carabao Cup final and are both still competing for the FA Cup and Champions League in what will be a tense few months for the title challengers.
United, meanwhile, just have the Premier League to focus on which could play to their advantage.