All three players were unable to convert their penalties as the Three Lions fell 3-2 in the shootout defeat.
"He's devastated," Shaw said of Saka after the game.
"But I think the most important thing for us now as a team is obviously to be there for him.
"We gave him a big hug, told him to keep his head up, it happens.
"It's a penalty shootout, anything can happen as a lot of people know. It's an experience he'll learn from but we're all behind him, he knows that.
"Not just him, Rashy and Sanch, we're with them all, we win as a team and lose as a team. There's no individuals who cost that."
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