Stress Found to Weaken Resistance to Illness By Shankar Vedantam. And it turns out

that shy men have much less resistance to the AIDS virus than extroverted men and benefit far less from treatment with antiretroviral drugs...

"People who have the shy, sensitive temperament seem to be more prone to having sympathetic nervous system responses," Cole said in an interview, referring to the part of the nervous system that causes accelerated heart rate and other unconscious changes. "They are more stressed by lots of things, including contact with unfamiliar people."

In shy people, the nervous systems may be more likely to produce a stress reaction during social interactions -- so they maintain their internal stress balance by limiting contact with other people.