The Red Devils left back believes the Norwegian has taken a lot of stick for his players this season.
United have struggled in the Premier League and find themselves in ninth place, where they would remain if they fail to get anything from Monday's game against Chelsea at Stamford Bridge.
But Shaw stands by the manager.
"We're all aware how the manager has tried to take the criticism on himself this season," Shaw told The Mirror.
"We admire him for that, but there does come a time as a player when you have to look at yourself and realise that it's all on you.
"The manager can't keep defending us and taking the criticism. It's up to us now – we're the ones who need to shoulder the blame and start performing on the pitch.
"Ole is different to managers I've played for in the past at United who have not been slow in criticising us.
"Every manager has their own way of doing things and as a professional you just have to accept that they believe that the best way to be successful is their way.
"In the dressing room he always lets us know if we aren't doing the thing he expects from us. But there isn't a lot he can do once we go out onto the pitch. Then it is down to us.
"Ole can only do so much to prepare us but once the whistle goes then it's up to us to prove we deserve to be Manchester United players.
"We're all here because the manager believes in us and it is disappointing there have been times this season when we've let down him, ourselves and the United fans. We know we're much better than our results suggest.
"The good thing is we've still got a lot to play for, with top four and two cup competitions, so there is time to put it right. Playing Chelsea is a good place to start."