Our previous studies have found that euhermaphrodite-phase shrimp of Lysmata secrete both distance and contact sex pheromones, unique among the shrimp. To gain a better understanding of the chemo-sensory system of shrimp, we studied the setae on the first (antennules) and second antennae of four species of Lysmata, which represent the two social groups (low and high densities) and three distinct external morphological patterns (peppermint shrimp, scarlet lady shrimp, and fire shrimp) in the genus. There were four types of setae in the four species: aesthetascs, denticulate setae, and two types of simple setae. Aesthetascs are only distributed on the proximal lateral antennular flagella, while the other three setae are located on the antennules and the second antenna. Aesthetascs are believed to be olfactory organs in detecting soluble chemical signals, especially for male-female communication during mating, while one or more of the other three setae are responsible for detecting contact pheromones. Lysmata boggessi and L. wurdemanni, peppermint shrimp that live in aggregations, possess significantly higher number of aesthetascs than pair-living species of L. amboinensis (scarlet lady shrimp) and L. debelius (fire shrimp), suggesting a possible correlation between the aesthetasc number and social environment. Sexual dimorphism in the aesthetasc number is found in L. boggessi and L. wurdemanni, with significantly higher numbers in the male-phase shrimp than in the euhermaphrodite-phase shrimp.