I have ten small zebra danios, I feed them everyday with regular fish pellets I bought from the local pet store. Yesterday, I got some frozen shrimps for them to eat and I crushed the shrimps into powder so that they can eat easily. I noticed that none of the fish had touch the shrimps, but are eating fish food normally.
Fish can be fussy eaters. As rémi mentioned in the comments, the fish are not used to eating the shrimp as food.
The first thing to note is that this is probably nothing to be worried about. If they are happily eating the regular pellet food then there should be no risk to their life. When you get a new fish from a shop, it is often worth asking them what they feed it so that you can get the same food for them (even if you intend to swap it at a later date).
A hungry fish is a healthy fish
The above is true and can be a stumbling block for new fish keepers. I regularly have a 'starve day' where you don't feed the fish anything at all (When I first started, I fed them twice a day! Doh!) Why is this relevant? Well, if you want to swap the food a fish is eating, make sure it is hungry first. A fish which is hungry (hasn't been fed for a few days) will be much more likely to try a new food put into the tank.
These fish have been raised on flake food their whole life. If you really want to get them to eat brine shrimp then just limit their intake for a few days. Obviously, have a fish that is not picky means that if you run out of a different type of food then there will be no problem feeding them something else for a few days.
A balanced diet will improve a fish's health but that doesn't mean you have to feed frozen shrimp. There are many different flake foods on the market that you can rotate between or you could even make your own!