THEY ARE NOT ALWAYS THE SAME! I am sick of people making that assumption. Shyness sometimes results from the brains need to evaluate a situation for safety and unspoken rules. Shyness is also caused by not having enough social experiences in your life. If you are not used to speaking to people, obviously it will be tougher. It's like a lack of social skills. Yes, shyness can be caused by insecurity, but that should not be the assumption right of the bat. Assuming that that is what it is when there are many other reasons for shyness just makes you seem ignorant.
To answer the original question, it just depends on the person. Different people are shy for different reasons.