Shear thickening appears as an increase of the viscosity of a dense suspension with the shear rate, sometimes sudden and violent at high volume fraction. Its origin for noncolloidal suspension with non-negligible inertial effects is still debated. Here we consider a simple shear flow and demonstrate that fluid inertia causes a strong microstructure anisotropy that results in the formation of a shadow region with no relative flux of particles. We show that shear thickening at finite inertia can be explained as an increase of the effective volume fraction when considering the dynamically excluded volume due to these shadow regions.