Shrimp, when dead, give off a chemical... I don't remember what... But when they die, they turn pink.
Perhaps that's it?
I don't know everything about the biology of shrimp. Just a suggestion.
I've always thought shrimp had blood. But I was reassured their circulatory systems were open.
Also, I hate when people try to convince me human blood is blue when in the body >_> lol.