That should never happen, unless the fish was shipped to you, then there can always be some percentage of shipping mortality.
When a fish dies within 24 hours of arrival, and it wasn't shipped, the reasons usually fall into one of three categories:
1) the transport (bag time) was too long for just air (not oxygen) to be used. Less than an hour is best. Another issue can be when you don't aerate during a long acclimation.
2) the salinity of your tank was substantially higher than the tank the fish came from. Even careful acclimation cannot adjust for a large salinity/specific gravity rise - we see this a lot. A dealer may hold their fish system at 1.020 and then your tank is 1.025. You cannot acclimate that far of a rise in one day, it needs to be done in stages over a few days.
3) the fish was sick when you bought it.
I would contact the dealer and ask them what they think.
Jay