Hi L.,
Do I understand right, and your son just started pre-K this month, is with kids he doesn't know for the first time?
If this is the case, don't worry about his shyness quite yet. I can see at least two things that can be happening:
He started a brand new environment, with new rules and new people, just three weeks ago. He needs time to adjust and learn the "rules of engagement" as I call them, i.e. how to start being with people you don't know. He will get to know and feel more comfortable with his classmates as he gets to know them better through school.
Or, he might not want to go play with them when you're there, because he wants to stay with Mommy, who is his rock, until he's used to school and his new friends. One way to know if it's this is to ask the teachers how he is not just in class, but at recess/play time. Does he engage with others in those circumstances? If yes, he just wants to be with Mommy as much as possible. After all, it's a big transition for him.
With all this, and especially if teachers say he's handling play time well, I wouldn't worry about it at least for the next couple of months.
Hope this helps,
K.