From her interview in Vogue:

Mayer suffers from shyness. She tells Vogue, "she has had to discipline herself to deal with the shyness." Whenever Mayer arrives at a party, for the first fifteen minutes she wants to leave. This includes parties at her own home. Mayer says, “I will literally look at my watch and say, ‘You can’t leave until time x.'" Over the years Mayer has learned that if she makes herself stay at a party for a fixed period, she often gets over her social awkwardness and ends up having fun.

Read more: http://www.businessinsider.com/personal-facts-about-marissa-mayer-2013-8

When she does leave, she sneaks out:

Mayer is a fan of the "Irish Exit." Weisberg was attending a party at Mayer's home and he noticed that the other party guests noticed that Mayer had vanished. She tells Weisberg this is called her “CEO exit." Mayer typically disappears without goodbyes while the party carries on.

I like the concept of a "CEO exit".

When I first met my wife to be, she suffered from this form of anxiety for years.  The group we were members of at the time helped her get rid of this fear by getting her to be in charge of greeting all new visitors.

So just by practicing being social she became more comfortable with it?