Have you recorded and played it back to them? Have you demonstrated using words that trail off (get softer at the end)? Have made them mark their music? Have you gone down the row to see who is dropping the phrasing?

Most phrases end at a bar line. Make it a rule that you do not breathe at a bar line. I am almost certain that they are seeing the end of a phrase, have been taught to breathe their, and are subconsciously relaxing so they can breathe. Only reason I am guessing what is happening is from my personal experience as a director and performer with this issue.