Maybe a bunch of people did choose shurikens when they ran into the sporting goods store. I reckon the reason you don't see anyone whipping them at zombies in the show is because they all died on day one...
All of this is assuming you are not actually a ninja assassin
If you miss with a shuriken, that shriken is now about a quarter mile away... they are light and they are tiny. You're not gonna find it! Most combat in TWD takes place in forests or fields, your shuriken is gone forever the second it leaves you hand.
And think about the comparative effort of firing a crossbow and throwing a shurikens all day, you index finger might get sore with the crossbow, so you might have trouble pointing at things... but you're gonna pop your shoulder out if your throwing shurikens all day.
And it'd be a pain carrying you shuriken supply everywhere, unless you have a special shuriken carrying case. They're gonna cut up everything else in your bag and / or stab you repeatedly. In the movies, ninjas usually have a few for each mission, but you could be on the road for weeks with zombies everywhere, you're gonna need a bunch.
You'll need the zombie to be pretty close (or have Batman level skills) to land a lethal hit with a shuriken.
Most importantly of all: If there's only one seat left in the car, and the driver has to choose between the guy with the crossbow and the guy with the shurikens... shuriken guy is walking.