If it's not charging, the battery will soon go dead. Surprising that the light still comes ON as green (which means it has a strong charge), when you turn ON the shuffle.
It's possible the USB docking cable is faulty. Make sure the plug on docking cable is fully inserted into the shuffle's headphones jack. It should click into place.
Are you using the very short USB docking cable that came with your shuffle? Some third-party replacement cables look similar, but are made for the older 2nd gen shuffle and do not work with 4th gen shuffle.
If you have a USB power adapter (plugs into a power outlet) from an iPhone or other device, connect the docking cable to it and connect your shuffle there. Does it charge when connected to a USB power adapter?