There are two options here, and with your party composition, it looks like you're restricted to one really good one.
The option that's not really in play for you is to just keep things to ranged attacks, that's great for your ranger, but the warden, vampire and avenger are left out in the cold as you can see from your post. This is a place where a ranged striker, a controller or a leader would shine tremendously.
However, the other strategy is where the warden shines fantastically. The warden has several powers that either prevent or severely limit the ability of shifty characters to do their thing. Some of these powers need to connect, but others do not. One of the best is a daily called Form of Winter Herald that create difficult terrain in a burst 2 area. Also, depending on their build they have tons of powers that slow, prone or even outright prevent shifting.
Ultimately though, this is a problem that is difficult to solve. If you can't prevent the movement, then you'll have to play ping pong. Immediate reactions are only usable once per round, so once a creature has used the trick, they can't do it until their next turn. To take advantage of this, focus fire on one of them, this may prevent the first hit, but it should net two attacks per turn on that creature.