CBS News reported that Sanders told friends she plans on leaving at the end of the year.
According to the network, neither Sanders nor Shah responded to repeated requests for comment before the story was published.
She tweeted that CBS News hadn't confirmed their report with her. However, she did not address the accuracy of the report.
SHE has been one of US President Donald Trump's closest, most prominent aides - and recently had a starring role in peace talks with North Korea.
Sanders took over briefing duties full-time from Sean Spicer after he resigned.
White House Press Secretary Sarah Huckabee Sanders pushed back forcefully on a report that she's seeking an exit from the Trump administration on Wednesday night, saying in a tweet that she "loves" her job.