Anemones are weird creatures, I had a pink tip anemone once (when I first started SW and didn't know any better) and it used to shrivel up sometimes and I thought the thing was dead then the next day he was fine. I ended up taking it back to my LFS because I was not prepared or experianced enough at the time to keep it. I remember sometimes it would shrivel up kinda like what your saying when it caught somthing to eat. I don't think it's anything to worry about, but I would see what others have to say that are more experianced with anemones.
By the way what kind is it?