The Portuguese forward's future has been the subject of speculation this summer, with reports consistently linking him with a move back to Manchester United.
However, Shevchenko believes that Ronaldo would be making a mistake by leaving the nine-time European champions.
"I do not know why Cristiano would want to go," Shevchenko told AS.
"When you're in Madrid, you must stay in Madrid. We would all like to have played there. I do not think you can go much further in your career."