I didn't find anything strange in his 'I'm shy' line.
Many guys are 'open' and 'cool' and chilled out on the surface, confident extroverts who don't have a problem accepting relationship, joking about it, hugging, but once someone prods into how much you love each other, tell us more (more emotional, romantic details) etc, they feel shy to talk about it. In fact, in that aspect, I have always felt Sushant is shy. Even on JDJ, he used to blush a lot.
I found it quite cute actually when he admitted that he is shy in speaking about his relationship.