The goals were scored by Facundo Ferreyra (14) and Marlos (17, 68) from the Donetsk side and by Nicolai Jorgensen (12) from the Dutch club, Ukrinform reports.
Two weeks ago, the Ukrainian club beat the Dutch champions 2-1 in Rotterdam.
In another Group F match, Italy's Napoli lost to England's Manchester City 2-4 at the San Paolo in Naples.
Standings after four rounds: Manchester City - 12, Shakhtar - 9, Napoli - 3, Feyenoord - 0.
On November 21, Manchester City will face Feyenoord, and Napoli will play Shakhtar.