Shahzad was ruled out on Thursday after suffering a recurrence of a nagging knee injury.
"Obviously it's a big loss for our side," Naib told reporters on Friday.
"Shahzad is a great player for Afghanistan. He did a lot. I'm also upset for him -- the last two, three weeks he's been struggling with his knee.
"He can't move right. In the last two weeks, I checked with the doctor and physio. I gave the time to him to recover. But unfortunately it's bad luck for Shahzad."
Naib believes Shahzad's energetic presence off the pitch will be missed as much as his play on it.
"Shahzad is very energetic. Also in the dressing room he's very funny. He entertains us every time. So we miss a lot of things from him," he added.
Naib said they were a more mature and confident unit now, with the potential to shock the more-established teams.
"It's totally different now. The 2015 World Cup was our first for Afghanistan," he said.
"We just thought it was a big honour for Afghanistan to participate in these kinds of events. Now it's totally changed everything.
"Now we improve day-by-day. So here we're not just going to participate in the World Cup. We're here for doing something different and to show the world Afghanistan is not like the 2015 team.
"I think you saw that in the first few games. Now Afghanistan, we are totally different.
"We have world-class players in our side, world-class batsmen. We're trying to play our best cricket here."