Shah smashed 76 runs before being bowled by Lasith Malinga. At one stage Shah was looking like steering his side to win despite chasing a big target of 198.
However, Malinga dismissed him when handed the ball by his skipper in the 15th over.
"Malinga you can bring him any time. If Shah had batted three more overs the game would have finished in 19 overs. Lot of credit to Shah for the way he batted," Harbhajan said at the post match presentation ceremony.
"The dew was a problem, but when you have 197 on board, the opposition still has to keep the score moving," he added.
Royals skipper Rahul Dravid too thought that could have won had Shah batted through the innings.
"We thought we had a chance when Shah was batting. Malinga made a difference with his wicket. We needed to bat on. We were under the pump a little bit," Dravid said.
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Dravid said his side a lot of positives from the match.
"There was a little panic among the youngsters. It is an inexperienced attack. But there are a lot positives. It is bunch of talented kids who want to do well," he said.