The Donegal man says he will spend time with his wife and children before discussing his next move with his new boss at Aston Villa, Paul Lambert.
Shay also lamented Ireland’s performances in Euro 2012, culminating in last night’s 2-0 defeat at the hands of Italy.
“I’m going home, I will try to spend some time with my wife and my kids. My decision over the future will be both professional and personal. I will also speak to the new boss [Paul Lambert] at Aston Villa to see how he sees it,” said Shay when asked about his future with Ireland.
“It’s tough to take any positives from the tournament, we were beaten three times, we expected to do a lot better before we came here but maybe in few months’ time we will look at the bigger picture and draw more optimistic conclusions,” said Shay. “Of course we improved as players and as a team.
“It’s been a tough few weeks for everybody, the squad and me, and especially the fact that we are coming home without any points has been especially tough for us.”
The 36-year-old conceded his own mistake in conceding the first goal, after he spilled a long-range shot onto the post to give away the corner that was then headed home by Cassano.
“We played well tonight,” he added. “We feel the goals were harsh on us and we should have done something for ourselves.
“The first goal was of course my mistake but it takes a lot of time for the ball to end up in the back of the net and it was also good delivery from Pirlo as well. Cassano is the smallest player on the pitch as well so from that point of view it is disappointing.
“And how it led to the corner was disappointing, again it was my mistake, I should have dealt much better with the shot but with that humid weather it gets a bit tougher. I have to admit that I should have done a lot better, though.”
The Aston Villa man defended Keith Andrews after he was sent off for a foul on Pirlo just before Italy struck their second goal.
“Keith put in a great performance tonight I think, his sending off was a little bit harsh, he showed some frustration on the way off but his display was excellent, as it was in previous games,” he said.
He didn’t comment on the play-acting of some of the Italian players nor the dreadful decisions of both the referee and the linesmen.