How do I hang shelves on poor quality brick/concrete walls?
Are you sure you are not drilling between the mortar? That is the weakest point to drill.

There are a couple different things you can do. I assume you are using concrete anchors so you can apply a generous coating of Loctite Metal and Concrete Epoxy onto the anchor before you insert it into the hole. 

The other option is to take furring strips (pressure treated 1x4's) and attach them to the wall with blue concrete anchor screws, at least 2 and 1/2 inches long. These should make a good thread and the furring strips will add to the support structure. Space your anchors 2-4 inches apart vertically and on-center.