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Try putting quotes around the values for DATE.

Looks fine to mine.
Are you sure the files contains this specific format?

AFAIK: 'Official' file extension for bash scripts is .sh.

+ grep -r 01/25/2015 001 002 003 004 005

The code shows that it is executing as expected.
grep is searching for the string 01/25/2015 in files: 001, 002, 003, 004 and 005. If that's correct, it...

grep "12/15/2001" $(find . -type f)

Consider this:
grep "12/15/2001" * or grep -r "12/15/2001" *