Fans of the Magpies protested against Ashley's reign of the Tynesiders before their Premier League clash against Tottenham Hotspur, citing a perceived lack of ambition from the owner as their complaint.
However, Shepherd feels that the actions of the supporters will not reap the outcome they desire, and has insisted that they put their energy into backing John Carver's men.
He told Sky Sports News: "I'm really worried, but I think a boycott's not going to be the answer. I don't think it helps anybody.
"We need to get behind John Carver and the team. Doing a boycott isn't going to help that team. They're lacking confidence and they need every supporter behind them."
Newcastle lost for the sixth game on the spin in their 3-1 defeat to Tottenham on Sunday.