To date, United have only brought in Donny van de Beek this summer, with manager Ole Gunnar Solskjaer repeatedly facing questions about their lack of activity in the market.
"Let's see what happens," was Solskjaer's response after United's 3-0 win at Luton Town on Tuesday, and Sheth said this answer was making the club's supporters "anxious" with the transfer deadline approaching.
"Departures are proving very, very difficult for United and there seems to be a feeling of surprise at Old Trafford that they are unable to get suitable offers for some of their players," Sheth told Sky Sports News' The Transfer Show.
"For example, Chris Smalling is still training on his own away from the first team, but Roma are yet to meet United's valuation. By all accounts United want to do business with Roma, who want to do business with United, Smalling was on loan there last season, had a successful spell there and wants to go back.
"All those elements are in place except the one most important element, the fee. It simply cannot be agreed at the moment."
'United want to trim down on defenders'
Sheth added: "There are other players that United would be open to listening to offers for. The 'keeper, Sergio Romero, has found himself going from second to third choice following the introduction of Dean Henderson back into the United fold.
"You've got players like Jesse Lingard, Andreas Pereira, Phil Jones and Marcos Rojo, but there's simply been no interest.
"United have something going in their favour. They've got the financial muscle to offer big contracts and big wages to players, but that advantage becomes a disadvantage when they're trying to offload players.
"You could argue United's current squad has an element of imbalance about it. I was looking at that squad and I've counted eight players who could play central defence. It's clear United want to trim the numbers in that area.
"United are in the market for a left-back, there's interest in Porto's Alex Telles, Sky Sports News reporter James Cooper says United will be looking to release players before they bring in any players."
'Concrete interest from Leeds for James'
Sheth said that while United may consider loaning out a player like Daniel James, the fact he is back-up to Mason Greenwood means the club would not let the player leave unless someone is brought in.
"Further up the pitch, there does appear to be a concrete interest from Leeds United in the winger Daniel James," Sheth said.
"You could say we have the opposite scenario here. Would United consider allowing James to go out on loan? Ordinarily yes, but as it stands James is the number one back-up to Mason Greenwood in those forward areas.
"That of course brings us to Jadon Sancho. United still want him or an alternative, and it appears they would only allow James to leave if they brought in someone like Sancho or a replacement for him."
Neville: Man Utd 'negligent' over signings
Gary Neville has dissected Manchester United's 3-1 loss to Crystal Palace at Old Trafford on Saturday and while praising Roy Hodgson's side, the Sky Sports pundit also has some strong words regarding his former club's recent transfer policy.
While United kicked off their season with a deserved defeat to Palace, Neville lays the blame for the surprise loss squarely at the feet of those who are responsible for bringing new players to the club this summer.
Speaking on the Gary Neville Podcast, the one-time United captain warned his former side unless a number of new signings are made before the transfer window closes on October 5, they could face missing out on a top-four finish this season.
Summer transfer window - key dates and times
The summer transfer window closes at 11pm on Monday October 5 with a feast of activity lined up on Footy Legend.
A domestic-only window for deals between the Premier League and EFL then runs from October 5 and closes on Friday October 16 at 5pm.
Source: Sky Sports