Bring a pot of water to a boil. Add juice from 1/2 lemon. Drop in shrimp and reduce heat to medium. Poach shrimp 2 to 3 minutes, until white. Drain and run under cold water until cool to the touch.
Finely chop shrimp and combine with celery, mayonnaise, shallot, dill, mustard, salt and cayenne. Cover and chill until serving.
Split rolls. Divide shrimp mixture evenly among them. Top each with a few tablespoons chopped arugula.