So why do it? What was he trying to prove ... apart from show himself to be a bloody idiot?
Now Shepherd says Ruud Gullitt "is the most honourable man I have ever met in football", simply because he didn't take the club to the cleaners for compensation like the rest of Shepherd's failures.
Kenny Dalglish, Graeme Souness and Glenn Roeder, like Keegan, got a wedge from the club when Shepherd was boss. And United had to pay for Sam Allardyce to leave ... another Shepherd appointment.
Shepherd (talking to the Mirror): “There are no winners in this case. There are only losers - the club and its fans. Kevin Keegan and Mike Ashley are just passing through – it is the institution of Newcastle United that is damaged by this episode.
“During my time at Newcastle, when a manager left we always managed to sort it out amicably and agree on a settlement.
“And when Ruud Gullit left he agreed to waive all his rights to compensation. Gullit is the most honourable man I have ever met in football.
“Things weren’t going well and he came to me and told me he had lost the fans. He told me he wanted to go quietly and didn’t want a penny paid into his bank account. There aren’t many men of that calibre in the game. He showed he had true class and integrity.”