Shaughnessy has recently been linked with a loan move to Hearts.
Hearts earned an excellent 1-0 win away at Hibernian in the Edinburgh derby on Saturday evening thanks to Olly Lee's superb first-half strike, which sees Craig Levein's side sit in fifth place ahead of the winter break.
Edinburgh Live reported after the match that Shaughnessy had arisen as a target for Hearts ahead of the January window, with rumours suggesting that he had been in Edinburgh over the weekend to complete a deal.
The 22-year-old's post confirms suggestions that a move could be on the cards, as he took a photo of the action from Easter Road and uploaded the picture to his Instagram story on Saturday evening.
The Ireland youth international is likely to be considered surplus to requirements at Leeds, with Marcelo Bielsa failing to use the 6ft 4in defender despite the club's centre-back crisis throughout November and December.
Instead, Bielsa turned to rookie defenders Leif Davis and Aapo Halme, rather than Shaughnessy. He has made one appearance for Leeds this season, but was hooked at half-time during a Carabao Cup loss to Preston.
Shaughnessy is only expected to go on loan to Hearts if a move does materialise, with his contract set to expire in the summer of 2022.
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