Step 1: Analyze Assertion (A).
When blood cells are placed in concentrated saline water, water moves out of the cells due to osmosis.
As a result, the cells shrink or collapse.
Therefore, Assertion (A) is correct.
Step 2: Analyze Reason (R).
The cell membrane does not dissolve in saline water.
The collapse of blood cells occurs due to osmosis, not because of dissolution of the cell membrane.
Therefore, Reason (R) is incorrect.
Step 3: Final conclusion.
Hence, Assertion (A) is correct but Reason (R) is not correct.
\[
\boxed{\text{(A) is correct but (R) is not correct}}
\]