Yes they will shrink a bit, as the pickling process would cause the cucumber to lose water.
The juices in the cucumbers are pulled out into the solution, but they generally plump up again as the cucumbers reabsorb the brine.
Other sources suggest that shrunken pickles may be a result of other things including a brine that is too strong, not using fresh cucumbers or cucumbers that are from fields that have not been watered well.
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