The concert movie was helmed by Oscar-winning director Martin Scorsese, who said before the screening, "The nature of the music is something that has inspired me constantly throughout the years."
Der Spiegel said he also told reporters he attempted to create a film experience that would be "as close as possible to the energy of a live concert."
Stones guitarist Keith Richards said he liked the way the director approached the project.
"We didn't even know they were there," Der Spiegel quoted Richards as saying.
"Shine a Light" is showing out of competition and is not one of the 21 films competing for the coveted Golden Bear award, the newspaper said.
Scorsese's films include "The Departed," "The Aviator," "Gangs of New York," "GoodFellas," "Taxi Driver," "Mean Streets" and "Raging Bull."
He also directed the documentary "No Direction Home: Bob Dylan."