Sorry to hear about your cleaner shrimp. They can be sensitive to environmental changes. Just moving them from the store to your tank water can stress them. Did you slowly acclimate it? Are all your water specs on target? They prefer higher salinity like corals do. 1.025-1.026.
For the future, be careful in your selection. Besides the animal looking to be in good condition, I always look for feeding behaviors, general alertness, and curiosity. It's not bullet proof, but I think it cuts down on the losses.
