Let $W_a$ be an affine Weyl group with corresponding finite root system $Φ$. In \cite{JYS1} Jian-Yi Shi characterized each element $w \in W_a$ by a $ Φ^+$-tuple of integers $(k(w,α))_{α\in Φ^+}$ subject to certain conditions. In \cite{NC1} a new interpretation of the coefficients $k(w,α)$ is given. This description led us to define an affine variety $\widehat{X}_{W_a}$, called the Shi variety of $W_a$, whose integral points are in bijection with $W_a$. It turns out that this variety has more than one irreducible component, and the set of these components, denoted $H^0(\widehat{X}_{W_a})$, admits many interesting properties. In particular the group $W_a$ acts on it. In this article we show that the set of irreducible components of $\widehat{X}_{W(\widetilde{A}_n)}$ is in bijection with the conjugacy class of $(1~2~\cdots~n+1) \in W(A_n) = S_{n+1}$. We also compute the action of $W(A_n)$ on $H^0(\widehat{X}_{W(\widetilde{A}_n)})$.