As a rough approximation, the energy pumped out by a microwave will bounce around until it gets absorbed by something. If there is something in the oven cavity which readily absorbs energy, the energy won't bounce around very long before it gets absorbed. If some objects in the cavity absorb energy, but not as readily, the signals will bounce around longer but still end up getting absorbed. The trays that are included with many microwave ovens are often designed to absorb energy, but not too readily. If nothing in the cavity absorbs energy, it may eventually get absorbed by parts of the oven itself, in ways that may damage it.
If you want to operate a microwave oven without heating a particular object inside it, and without damaging the oven, you should place something in the oven which absorbs energy more readily than the other object. That won't shield the object from all of the effects of the microwaves, but it will be heated far less than if it were the only thing in the cavity.