The 2010 premiership player lost his cool during Collingwood's elimination-final loss to Port Adelaide on September 7, clashing twice with Angus Monfries.
The first incident led to a free-kick and goal for Port and Shaw later threw the ball in the face of Monfries, moments after the halftime siren.
Melbourne have already emerged as a possible new home for the 27-year-old Shaw.
"The first step on this is to see if there is a deal to be done for 'Shawry' to go somewhere else and for Collingwood to get a good deal out of it," McGuire told Triple M on Wednesday.
"Shawry has a two-year contract at Collingwood so, if deals aren't on the table that aren't right for Collingwood nor are they right for him, everyone comes back together and says, 'Come on, let's work this out', then there's an opportunity."
Melbourne's new football operations manager Josh Mahoney says Shaw's name is on the Demons' list of potential recruits.
"We meet daily in list management and we go through it and Heath Shaw's name has been brought up," Mahoney told SEN.
"He's a very good player and he'd make our team a lot better so we'll certainly look at the opportunity to get Heath."
Collingwood coach Nathan Buckley says Shaw's keen to explore his options.
"I've been open and honest with Heater over the last couple of years as senior coach," Buckley told Channel Nine's Footy Classified on Tuesday night.
"He's under no illusions where he sits.
"The decision to have a look elsewhere has been made and now we have to find an arrangement that suits both parties.
"I think it just comes to that point in time where the relationship reaches a point where you go one way or another.
"Heater's pretty keen to explore his options and the club the same.
"Heater's making the call for his career. That's the professional age we live in."