In most cases like this it's impossible to determine an actual cause of death. The bodies were likley eaten once they were already dead. They are so small, it would be easy for the others to eliminate a trace of them. I've lost chili's and I've never actually seen a body.
Do introduce new fish to your tank water a bit slower. Float for 15-20 minutes, or long enough for the bag water to come to temp, then beging removing some bag water and adding tank water every 10 mins or so until you feel like their bag water has pretty much become all tank water. Then net them out. Even if you had done this, you may have still lost the chili's, but it's a good practice to use going foward to increase your chances.
One issue with most LFS' is that they recieve shipments of fish and do not properly acclimate them to their new tanks or QT them before selling them. As you can imagine, a fish that's just shipped across the country and plopped in a new tank w/o a slow acclimation is stressed and possibly even sick when you consider the mass breeders these fish typically come from and really shouldn't be sold right away. This is one of the reasons I prefer buying online from reputable sellers. You may feel like your spending too much with shipping, but I've found that in the end you have significantly less losses and come out ahead in the long run. A couple good sellers that I can confirm QT their fish before selling are franksaquarium.com, wetspottropicalfish.com, and severum mama/HN1 who are members on this site, and have their own site which is forsythaquatics.com as well as a list of stock in the classified section here.
Also remember you are risking your entire stock by adding new fish w/o QT'ing them first. If the chili's were to have something contagious, you could end up with a sick tank.
