It's the downside of big shields, as compared to the smaller higher armour ones. You can either cover your whole body more easily and more resistance to nonshieldbreakers that can get shot through in a few very special cases or have smaller shields (that still cover almost your whole body), more resistant shield vs nonshieldbreakers, faster, etc, that will rarely get shot through.
If you do not want it to happen, get a higher armour shield:
One point of armor can make the difference again crossbow bolt penetration. I think 15-20 armor is about the range where it gets interesting against an arbalest keeping air friction induced damage loss in mind.
#missiles with damage > shield_penetration_offset + shield_penetration_factor * shield(armor)
#will penetrate.
shield_penetration_offset = 30.0
shield_penetration_factor = 3.0
Though I personally rarely suffer it with a heavy round shield, with quite low armor.