More information and photos would help a lot. You didn't really give us enough to go on. Are they losing all of their leaves, like Charlie Brown's Christmas tree, you touch it and they all drop, or just a few from lower on the tree? How are you watering, how much and how often? When you water, do you check to make sure the actual root ball is moist, or do you just check the upper soil surface? Did you disturb the roots when you planted, or just leave as they were? What else have you done, fertilized at all? How did you prepare the planting site?

All of these things could have bearing upon the situation, and knowing details would help us determine what the problem is.

However, that all being said, the two main possibilities are 1) normal transplant shock, just a period of adjustment, which is nothing to worry about or 2) improper watering, either much too wet and you're rotting the roots, or much too dry and they are drying out and dropping foliage in an attempt to survive.

Ditto what denninmi said.