Let $W$ be an irreducible Weyl group and $W_a$ its affine Weyl group. In this article we show that there exists a bijection between $W_a$ and the integral points of an affine variety, denoted $\widehat{X}_{W_a}$, which we call the Shi variety of $W_a$. In order to do so, we use Jian-Yi Shi's characterization of alcoves in affine Weyl groups. We then study this variety further. We highlight combinatorial properties of the irreducible components of $\widehat{X}_{W_a}$ and we show how they are related to a fundamental parallelepiped $P_{\mathcal{H}}$.