First, make sure your headphones are working properly. You can try them with another device, or try a different set with your shuffle.
If the headphones are fine, go to the shuffle's Settings or Summary screen in iTunes. It's the screen that appears when you select the shuffle in iTunes. There is a Limit maximum volume setting there. Make sure that slider bar did not get set to a low volume.
If that does not help, you can try doing a Restore on the shuffle in iTunes. The Restore button is on the Settings or Summary screen in iTunes. This will erase the shuffle, re-install its software, and set it to default settings. If the cause is related to a problem with software or settings, the Restore should fix it.
If that does not help either, there may be a hardware-related problem on your shuffle.