A NATO fighter jet tried to approach Shoigu's plane but a Russian escort plane intervened to defend it, Interfax news agency reported, citing journalists accompanying the minister.
The escort plane, a Sukhoi SU-27, demonstrated it was armed by rocking its wings, after which the NATO plane flew off, Interfax reported.
Russian state television aired defence ministry footage of the incident, reporting that it took place over neutral waters.
NATO and national air forces decided to monitor flights after last week tracking "an unusually large number of Russian military aircraft flying over the Baltic Sea," a NATO spokesman said in a statement sent to AFP.
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Shoigu today was flying to Kaliningrad, a highly militarised Russian exclave on the Baltic Sea, to take part in a meeting with defence officials there.
At the meeting, he warned that "the situation near Russia's western borders is tending to get worse," the ministry said on its website.
"This is tied with the upsurge of military activity of NATO countries in Eastern Europe," Shoigu added.
The meeting came after NATO held military exercises at the weekend in Poland on the Lithuanian border close to Kaliningrad.
Moscow sees the NATO build-up in the region as demonstrating a desire to contain Russia.
Today, Sweden summoned Russia's ambassador after a Russian Sukhoi fighter jet flew unusually close to a Swedish reconnaissance plane above the Baltic Sea.
"The Russian behaviour is unacceptable" and had increased the risk of a serious incident, Swedish Defence Minister Peter Hultqvist told the TT news agency.
That incident, in international airspace, happened on Monday, a Swedish army statement said.