Welcome to the site!
Can you tell us some things:
What types of fish exactly?
What are your water parameters?
Can you list all tank inhabitants?
How old is the tank?
What type of substrate? How coarse/fine?
Is it actual live sand or was it "live sand" in a bag sitting on an LFS shelf when you bought it?
Is there sand under your rocks?
What size tank?
How are you acclimating these new fish?
Besides these losses, have you lost any other fish? Have you tried any other type of fish that has survived?
Don't fret too much. Sand sifting fish, although neat to watch, really aren't that beneficial to a tank, especially a smaller one. They can destroy (eat) all the beneficial fauna in the sand bed, leaving it no longer "live". When I keep sand sifting fish in smaller tanks, I make sure that I add about a cup of established live sand every so often to keep the sand seeded.
Sifting snails, such as Cerith Snails and Nassarius snails are better options than sifting fish.
The most common reasons that sand sifting fish perish are:
Getting crushed by rocks
Not enough critters in the send to support their diet
Substrate is too coarse and irritates, which can lead to wounds and infection
Jumping out (many sifting fish are jumpers)
The Diamond Goby is the one sifting fish that I gave up on. Every single one I've ever tried in any of my tanks dies for one reason or another. We all have that one fish that just eludes us.