Are you not comfortable with your own thoughts, even when surrounded by people? I'm a fairly social person, but sometimes I just tune folks out, go off by myself and ponder my own thoughts because 1) some people eventually get on my nerves and 2) I feel like disengaging, regardless of what others think. I'm comfortable in my own skin, though; those that know me well just understand this is who I am.
The trick is becoming comfortable just being you without worrying about what other people are thinking. If you want to break out of being shy, practice going up to people and initiating conversation, even if it's something as simple as the weather. I've had amazing convos with random people just by saying shyt like "Dang, it's colder than a yeti's ballsack outside!!" Don't be passive in your own life; why wait for someone to initiate a conversation with you? That's not the way to live!! Furthermore, it's possible that you give off an unapproachable vibe without even knowing it (a lot of shy people do); it's not that you're trying to be rude (probably the furthest from the truth), but shy individuals tend to be too much inside of their own heads. You're too busy freaking out about the situation to take it for what it is: a simple social interaction with another person.
People can usually tell when someone is self-conscious.... that insecurity rolls off you like a fart under a blanket. Some people see this and empathize, while others are put off by it. Hopefully you'll come to the point where you can handle social situations and not obsess over them or what someone else thinks, if you're saying the "right" thing, etc.
**Sorry, I didn't mean for this post to be so long LOL**