What size is your tank? According to liveaquaria.com, the minimum tank size is 20 gallons. Are you feeding them several times a day? What is the species name of your anemone, if you know? The ocellaris clownfish has three host anemones: Heteractus magnifica ~ Magnificent sea anemone; Stichtodactyla gigantea ~ Gigantic sea anemone; Stichtodactyla mertensii ~ Merten's sea anemone.
The clownfish are relatives of the damselfish, and tend to be territorial. Did you introduce one first, and then the others? If you did, I would recommend purchasing a bigger, new tank and introduce the clownfish all at once.
You should check your tank to be sure you didn't put some decor on him (it happens). I would separate them until we figure out what's going on in there just so you don't lose any more fish.
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Phishie

"An ounce of prevention is worth a pound of cure."

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