There are a few possibilities. The caterpillars often curl into a ball and play dead when they are messed with. If this is your problem, they should start moving again. When you put them on a leaf you need to wait for them to latch on or they will fall off. The sadder possibility is that the milkweed you put them on was sprayed with pesticides and it killed them. Garden Centers often spray milkweed and it will be toxic for a while after you take it home. You should know the answer by now. Sometimes it's very stressful to take on responsibility for their little lives.