Chris Horner (RadioShack) romped away to the win at Mirador de Lobeira and now leads the Italian by 3 seconds in the overall classification.
However with so many mountain stages still to come, and a thoroughly demanding final week, Shefer believes that temporarily relinquishing the jersey should play out in the long run.
"In the first day at the team time trial we won the stage but not the Vuelta. Likewise today we lost the jersey but not the whole race. There are three weeks of competition ahead of the entire peloton, and it will not be easy for any one team to defend day in and day out," he said.
Astana kept Nibali and his red jersey out of trouble on stage three.
"The winds today were strong, but always from the same direction. When we came to the final climb it was a tailwind for the riders, and that kept the pace very high. Horner made a strong move in the last 2k and Vincenzo did well to keep close at the finish."
"There are 13 mountain stages in this Vuelta, and it will take strong legs and a smart head to climb them. We are not disappointed to let go of the red jersey today, and we look forward to the rest of the Vuelta to try and take it back," Shefer said.