You are right that while in shock, a person's circulatory system will prevent blood from going to the extremities at a normal flow rate (hence the coldness that a person feels). However, it does go to the organs--that is why extremity flow goes down--to save the organs and keep them oxygenated.
And as CBS said, blood loss is not necessary. Shock can be induced through mental trauma. The body has a hard time differentiating between the two. I can ask my best friend Cari, a physician, why this is so (unless someone else can answer here before I get to her)