I only know one reason for not eating shrimp. Some person are allergic to it and should not eat such. If they do, they may suffer a severe anaphylactic reaction to asthma, abdominal symptoms, eczema and/or headaches.
PETA or People for Ethical Treatment of Animals have more reasons not to eat shrimp. In fact they have ten reasons. The two paragraphs listed below are the reasons I liked the most.
Most of the shrimp consumed comes from places that have no restrictions on traces of illegal contaminants such as dioxins, PCBs, and other banned chemicals or on pumping the shrimp full of hormones and antibiotics!
With a whopping 152 milligrams of cholesterol per 100-gram serving of shrimp (four or five shrimp), just two servings would put you over the daily recommended allowance of 300 milligrams of cholesterol!
See more reasons here.