It might just be that they do not like where they are, as you have only had them a few weeks. They like a some flow and good light, so make sure they are getting that. IS everything else in the tank OK?
Some zoanthids are particularily prone to a disease that for lack of a better description "melts" the zoas away. The main symptom is that the zoas stop opening and get covered in a white "film". They then dissapear.
I cannot tell if that is what is happening from the pic.
As you mentioned something may be eating them...sundial snails, certain tiny zoa-eating nudibranches (I found one of those the other day in my tank eating some zoas), or as mentioned, your shrimp. If you are convinved it is not your shrimp, then a preventive dip might help. I did this on my "melting" zoas, and they are improving.
I am sure Beth in the disease forum would have a good recipe for a dip, although I have read of recipes using RO/DI water, with a portion of either hydrogen peroxide, or lugols (I used HP as I had it in the house).
Basically - get the RO/DI water to the same temp as the tank and the same PH. Add the medicine. Sit the zoas in the dip for about 4-5 minutes, then rinse in salt water, then replace in the tank. If there are little critters eating the zoas, or if it is the beginning of the sickness, then this might help. However, I would rule out all other possibilities before I did this.
Stewart