User blog comment:Master Sima Yi/Assassinews 05-08-'14 – Assassin's Creed: Rogue announced/@comment-199.96.205.93-20140805193014

We never see or hear mentions of Shay in AC3, so I think the following three must of happened:

1:Shay gets killed by Achllies(or other cause of death, I'm still hoping Achillies appears in ACRouge)

2:Shay realizes how wrong he was, and dissapears

3.Something unexpected happened to him