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The Red Devils were defeated 3-2 by the Italian side in the second-leg semi-final clash at the Stadio Olimpico last week.
But United's 6-2 victory in the first leg at Old Trafford ensured that the Red Devils progressed to the Europa League final thanks to the aggregate scoreline.
Despite the defeat at the Stadio Olimpico, one eagle-eyed United fan account managed to spot Shaw warming up for the match in an unusual way.
As the United players made their way out onto the pitch, Shaw could be seen throwing his water bottle away before bursting into a strange hopping sequence.
The fan-made United Twitter account tagged the 25-year-old left-back on social media, which prompted a reply from Shaw on Sunday.
Responding to the tweet, Shaw said: "I always do it [sic] maybe first time camera has caught me."
United returned to Premier League action on Sunday and mounted a successful 3-1 comeback victory over Aston Villa at Villa Park.
Ole Gunnar Solskjaer's men are currently second in the league and are 10 points adrift from Premier League leaders Manchester City.
While City are in touching distance of clinching the league title, Solskjaer will be aiming to secure his first piece of major silverware as United boss with his side in the Europa League final.
United will face Villarreal in the final on 26th May in Poland after the Spanish side knocked Arsenal out in the semi-finals.
Harry Maguire has hailed United's achievement of reaching the Europa League final as he urged his teammates that they now "have to go and win [the trophy]."
The 28-year-old United skipper said: "It's a great achievement. Obviously, we didn't win the game tonight, so that is disappointing, but we did the hard work in the first leg and we put ourselves in a great position.
"We knew tonight that we needed to start the first half well and we started the game a bit edgy. They actually played a man-to-man pressing style.
"It made the game end to end like basketball. We got a good result at half-time, but the second half we gave them too many chances, to be honest. We need to improve for the final, but it's a great achievement.
"Obviously, we don't want to lose any football match. We came into it tonight wanting to win the game.
"We put ourselves in a great position in the first leg and credit to the boys, we obviously won't celebrate tonight but we will congratulate ourselves for overcoming the semi-final stage and making it to the final of a competition that we have to go and win."
Featured Image Credit: PA/BT Sport
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