Assuming that you want a scientific explanation based on our universe's physical laws, and our understanding of them, the problem with the premise is that shadows are the absence of something, namely light. Now, you could have a creature who can create shadows, and shadow objects like a sword, by collecting photons and harnessing them into a physical form. By taking photons from the area around them, it would create areas of shadow, and an object that appears to be made of shadow. But actually taking a shadow that "exists" and turning it into a weapon, I have a much harder time explaining that. To better explain, your premise would be stronger at night, because the entire Earth is in shadow, thus giving them more "material" to draw from. Where my example would be weaker because there is less ambient light to capture.
As for appearing and disappearing into shadows, I assume you mean some kind of teleportation (enter one shadow, exit another). That's much harder to explain. Again, you could explain it so that it visually appears that's what happens, when realistically they are doing something else, like folding space-time using the energy of light to give them the immense power needed, thus creating shadows. But actually going through a "shadow", in a scientific sense, as we understand them, doesn't make much sense.