The US international & FC Dallas winger told Goal.com that despite spending a month training with the Gunners, there has been no further discussion over a transfer
Shea, who is already one of the most highly rated American players at just 21, spent a couple of weeks with the Premier League side at the request of his US national team coach Jurgen Klinsmann, who has capped Shea in each of the nine games he has managed.
"We didn't really talk about that," the wideman told Goal.com. "They were just trying to get me better [right now].
"It definitely showed me what it takes to play at the next level," he said. "The experience helped me a lot about certain situations [on the field] and I learned from it."
The youngster is reportedly keen on a move to Europe, and whilst national boss Klinsmann believes the player still has room to improve, he does not think it will be long before Shea switches across the Atlantic.
"What he needs is consistency and he needs is to work 24/7 on what he's doing," Klinsmann said. "What he needs to do is improve on many levels, but he has a lot of talent and that is why European clubs are looking at him."
Klinsmann is a big fan of having his players training with the top teams, whether they're located in Europe or South America.
"You need to move out of your comfort zone, you need to move out of your environment. That's the way you learn," the German said. "So if you go to England or you go to Germany or Brazil to train, the key is that you are getting out there and getting experiences."