Not weird at all. I've been teaching some students for almost two years, and they are still shy!

Some Chinese have told me that the way this comes through is to laugh, or giggle, when feeling shy. My girls do this all the time. Some of the boys do it also, so I figure it must be true. Something as simple as saying "Good morning. How are you," will get a response of a hung head (no eye contact), with their hands at their sides as they giggle.

This, after a very quick, almost inaudible, "I'm fine." It is getting better, but not quickly.

You could try doing a few more games that require really active participation, and that have really clear cut rules (maybe can get a local staff member to help you on this) but is also fun for them to play and will get them really running around and shouting. That always works for me. I've never had a student that's shy anymore after the first month.

Shyness is normal. It usually means they lack confidence in what they're doing. I'm a scientist and to this day I'm still shy about my maths, especially when I have to present it before a group of people. Everyone has strengths and weaknesses. 

Why does if have to be weird? And how does you being their teacher make them any different then when they first met you? Unless you are in a class to teach them how not to be shy and that's the course and they still are then there could be something wrong. But in this case nothing is wrong!

reverse the situation and remember what it was like to be a teenager or kid (whatever age you're teaching). then apply cultural differences. Makes sense.