MY first cleaner shrimp died like that, i wondered the same thing. Turns out, i totally forgot from zoology class, shrimp and all crustaceans who molt, need iodine in order to create their outer shell again and survive. So after the molting process if they lack iodine they are susceptable to everything.
So go to your local lfs and pick up a little bottle of iodine. I have a 30 gallon tank, and i only put about 1/2 a cap full in the tank once a week. My shrimp is great, has molted numerous times, and is getting almost big enough to eat! (Not like i would anyway)
I think that's probably your problem as well. Let me know how things go.