I'm assuming that you're referring to a Blue Coral Banded Shrimp. I highly doubt something killed it unless you have it with aggressive fish or a much larger invert, they're fairly tough little guys. What else is in the tank?
Many times when I shrimp is added to a tank, it hides until acclimated. They also often molt when first added, and right after a molt a invert will seek shelter (hide) until their exoskeleton hardens a little and they are less likely to be injured.