The Rugby Park manager has been delighted with the form of the 31-year-old Irish frontman over recent weeks.
Heffernan - who missed the first 10 weeks of the season after breaking his collarbone - grabbed six goals in as many games during February, including four SPL strikes.
And Shiels claims that fact should weigh heavily in his favour when the monthly award winner is revealed on Sunday.
He said: "Paul should get player of the month. I can't see anyone who has played as well as Paul Heffernan. There's nobody close.
"I'm expecting him to get it. If he doesn't, I'll be disappointed.
"He's been brilliant for us and the way he has come back from injury has been impressive. We are delighted with him."
Killie take on St Johnstone on Saturday at McDiarmid Park but will travel to Perth minus five first-team players, leaving Shiels with a major selection headache.
He said: "The team news is not great because Garry Hay is injured, Rory McKeown is out, so that is the left side gone.
"I think Sammy Clingan will be okay, but Rory McKenzie is still injured, so is Borja Perez and Manuel Pascali obviously.
"So we are still scrapping about in those areas. It's not great, but there you go."