The Ukrainian side visited the shop in Knightsbridge on Monday but were told they were not allowed to enter because their group was 'too big and suspicious'.
Shakhtar, who won the UEFA Cup last year, meet Fulham in the last 32 of the Europa League at Craven Cottage tonight.
Harrods tomorrow lads: Shakhtar Donetsk players watch Fulham's FA Cup match against Notts County
A statement on Shakhtar's official website said: 'The players decided to increase the earnings of one of London's reputable shops, Harrods. The footballers have money and were eager to buy a lot, but weren't allowed to enter the shop.
'All of them were wearing similar tracksuits. The players explained this was the football team and they had no habit of taking tuxedos to the training camp to go shopping.
'But the explanations were fruitless.' The players continued their shopping trip in another store, 'where the owner was very glad'.
A Harrods spokesman said the shop did not wish to 'offend or upset visitors', but the 'difficult decision' had been taken 'in the interest of health and safety'.
Fulham manager Roy Hodgson said: 'I'm surprised to hear it. The chairman normally loves people to spend their money with him!'
Shakhtar have not played competitively since December 16 owing to a midwinter break. That did not stop them beating Tottenham 3-1 on aggregate at the same stage last year.
Shakhtar right back Darijo Srna, the Croatia captain, has been linked with Tottenham and Chelsea.
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