Can you be a bit more specific. About your lifting/cardio regimine, but especially what you're eating.
"protein shake" for example tells us pretty much nothing.
What kind of protein, what else is in the shake, how often are you eating it?
If you're trying to cut without losing muscle one of the most important things is to keep your body supplied with protein, but minimize calories. When your body doesn't have food it canabilizes itself. That's fine for fat, but in order to keep it from eating your muscles you need to have a constant small-moderate supply of protein available.
Slow burning proteins are excellent for this. Casein being the most popular and common. Whey is fine to take, but you'll be wanting, say 1/4 servings, but very regularly (at least every hour). Some combo is fine, though casein you only need to take very 4ish hours.
The other issue, is not to spike insulin. A lot of proteins have artificial sweetners which will spike insulin. This will switch your metabolism from a fasting to a feasting state, which will, at least temporarily, prevent the burning of fat as fuel. Again, with something like casein: not a big deal. With something like whey that can be troublesome. (Personally: I recommend Optimum Nutrition's "Naturals" line, which doesn't have artificial sweetners. Some of the products have used stevia, but it's non-insulingenic, so no big).
[Edit: while a lot of the above advice is not "bad", it's not especially good either: most of it is general leanning up, not serious cutting. Look up some articles on cutting for bodybuilding competitions. Realize that these guys are huge, so take any specific numbers with a grain of salt, but they're experts on losing fat while retaining muscle]