The Reds left-back felt uncomfortable on Saturday morning and so sat out of training, after which it was decided he should go back to United.
A statement on Saturday read: "The left-back was rested from training at St. George's Park this morning with the medical team continuing to manage his workload.
"With Danny Rose set to start against Slovakia in Trnava tomorrow night, Shaw has been allowed to return to Manchester to train with his club as a precautionary measure.
"Sam Allardyce's remaining 22 players all travelled out to Slovakia this afternoon."
Allardyce later confirmed in a press conference that Shaw was not injured and had returned to Manchester "for precautionary measures".