I ended up getting rid of my cleaner shrimp for just that reason. I couldn't keep him from stealing food from my anemone or corals. Other than missing a meal, it didn't seem to bother the anemone, though (i.e. it never curled up). Now, anemones will sometimes curl up and/or deflate to purge waste. It may have just been coincidence that the shrimp was walking over it just before that. If this is happening every time your shrimp is walking around on the anemone, I'd definitely get rid of one of the two. It's best not to move the anemone, though, especially if it's something like a bubble tip that you would have to remove from the rock.
Oh, and good luck catching that shrimp if you decide to take it out. Mine would climb all over me any time I put my hand on the water, but I swear the day I decided to catch him and take him out, he knew. It took me 3 days to catch the stupid thing.
By the way, what species of anemone do you have?