It really is a matter of degree. Shyness is generally underlined by a fear of judgement by others, which inhibits social interaction in the person who is shy.
If by 'shy' you mean crippled by social anxiety and find it difficult or scary to talk to people, then yes, it is very bad and you should see a councillor to help you overcome that fear. If by 'shy' you mean you are a reserved person who would rather be on the periphery of a social situation, but are otherwise comfortable and can still meet people, then no it is not a real problem if you are still maintaining relationships without causing yourself grief.
It is going to depend where on the scale one fits whether being shy is an acceptable part of their personality or whether it is inhibiting them from being who they want to be, or otherwise causing themselves and their relationships damage. Generally, it is more than likely to be at least somewhat unhealthy.
Also, because of what some people have incorrectly said; shy and introverted are not the same thing. An introverted person will find socialising tiring, and need plenty of time alone (I'll 'hibernate' for at least a week or more after a weekend away with friends). An introvert also typically prefers maintaining a very small, but intimate friendship group, with limited time spent with lesser friends or acquaintances. That does not mean that when they do socialise they will be shy (they can be very open with strangers, noisy, like parties and attention), only that they tend to be careful how they expend their limited time/energy for social interaction. You can be a shy extrovert.
