Haya plays a huge role in the lives of Muslims because it is a very important part of our Iman (faith/belief). If we do not have any form of haya within us then it is most likely that Iman is very weak.This leads to shameful acts which become a normal form of lifestyle. The shaitan has removed all Haya. Allah (swt) explains:
Have you seen him who takes his own lust (vain desires) as his ilah (god), and Allah knowing (him as such), left him astray, and sealed his hearing and his heart, and put a cover on his sight. Who then will guide him after Allah? Will you not then remember? (45:23)
We often find that shyness, humility and bashfulness is frowned upon by our society as a weakness or a lack of confidence when, in fact these are quality of a dignified upright human being, who is conscious of their actions and their responsibilities in life.
Have a sense of shame/shyness
(not being shy from doing good, but shyness from doing wrong)
Hadith - Sahih Bukhari, Abu Dawud, Ibn Majah, Ibn Hibban, and Ahmad