This is almost certainly a reference to Bruce Banner as he is an expert in gamma radiation.
Bruce Banner: What does Fury want me to do? Swallow it?
Natasha Romonaff: Well, he wants you to find it. It's been taken. It emits a gamma signature that's too weak for us to trace. There's no one that knows gamma radiation like you do. If there was, that's where I'd be.
Which ties in nicely to what Erik says:
Erik Selvig: I knew this scientist... a pioneer in gamma radiation. S.H.I.E.L.D showed up and... umm. He wasn't heard from again.
Note though that it isn’t directly S.H.I.E.L.D. in The Incredible Hulk for most of the time even if Ross mentions working with them. However, in some of the tie in comics, such as The Incredible Hulk: The Fury Files, we see that S.H.I.E.L.D. have been watching Bruce even if they decide not to use him at that point in time.
S.H.I.E.L.D. show up a few more times watching Banner and keeping a track of him. However, they are never directly involved in what made Banner disappear: that was Ross and his teams doing. As such it seems like Erik’s quote is either generalising/conflating the groups or there is yet more we don’t know about.
Of course something is alluded to in The Avengers when Nat goes to recruit Bruce by stating that they never lost him.
Banner: Are you here to kill me, Miss Romanoff? Because that's not gonna work out for everyone.
Natasha: No. No. Of course not. I'm here on behalf of SHIELD.
Banner: SHIELD. How did they find me?
Natasha: We never lost you, doctor. We've kept our distance, even helped keep some other interested parties off your scent.