I'm on a PS3 with just the Hearthfire DLC installed as extra. My shrine is in the basement of Lakeview Manor. I had all the items to build all the shrines but NONE showed on the menu when at the workbench.
The problem is that you cannot carry ANY item needed for any shrine that is Stolen. If even one item in a group of non-stolen items is stolen (say, you have 19 iron ingots and one stolen) then ALL of the required items may be ignored and no options to create the shrines will list at the work bench. They won't even be there greyed out.
The solution is to dump everything you are carrying except for what is needed for a single shrine. Then make sure each item is NOT marked 'Stolen' and then go to the workbench. You should then see the option to at least make that one shrine. You may also see the other shrines greyed out which use a common item to the shrine you are creating.
This means, of course, that you have to know what each shrine needs first. Look that up.
In my case, I had two amulets that were stolen. I had to sell them to a trader and then immediately buy them back to remove the 'Stolen' label. As well, I had a couple dozen copies each of the flawless gems required and had to sort through those to find the ones that were not stolen. And the iron and silver ingots were also a mix of crafted and stolen.
But once I had all the items 'label free' I was able to craft all the shrines!