They tend to require mature, established tanks because they are intensive filter feeders. In newer tanks, there just isn't the life in the water established enough to keep them fed. They are also non-photosynthetic, so if you have them in strong lighting, that can kill them (they are not corals at all -- they are simply sponges). Some of them (generally the brighter colored ones) are just really really hard to keep alive in any tank.
When you have had yours, have you added food to the water for them (like phyto)?