If you replaced the batteries, and there is no plastic piece in between the battery and the terminal to keep it from sucking battery juice while on the store shelf, then I would think that the toy is broken, and you should try to exchange it for another one.
Answers & Comments
If you replaced the batteries, and there is no plastic piece in between the battery and the terminal to keep it from sucking battery juice while on the store shelf, then I would think that the toy is broken, and you should try to exchange it for another one.