Can I play Shen on a battlefield I attack?

No, you cannot play Shen to a battlefield you are attacking.

According to RiftJudge FAQ #8206 and #9449, units can only be played to a battlefield you control. When you are attacking a battlefield, you do not control it, and therefore it is not a valid location to play Shen.

While Shen has the [Reaction] keyword, which allows him to be played during closed states (such as during a showdown), this does not override the fundamental restriction that units must be played to a location you control (your base or a battlefield you control). Because you do not control the battlefield you are attacking, you cannot legally play Shen there.