Shaw feels United have copped both barrels from the media compared to their London rivals.
He said, “You need to have a thick skin to play football anywhere, but especially at the biggest club in the world here at United.
“Everyone's watching and wants to have a go whenever you lose.
“They're just waiting to criticise the moment anything goes wrong but that's part and parcel of playing for United.
“No disrespect to Arsenal who are a fantastic club, but they're not exactly having the greatest of seasons and it's hardly mentioned.
“I find it quite funny that if it's United, everyone criticises, but Arsenal don't get a mention.
“Look, we know when we haven't been good enough and at times we haven't been. We all know why we're here.
“We're here to take this club back to where it belongs – winning trophies and challenging for titles. And I honestly believe we're on the way towards doing so.
“We know when we're not at our best and we know when we play well what we can achieve – but we have to sustain it that's why I believe there are a lot of good days to come."