If I go to the Unit list, it lists my militias job as "Soldier (cannot follow order)". I can't see any reason they wouldn't be able to follow the order (namely to kills some goblins). Any idea why they might be just standing there like idiots and not doing anything? I'm at a loss.
"Cannot follow order" usually means some sort of perceived pathing problem. Are any drawbridges lowered/extended? Did your soldier get walled in by a careless mason? Are the goblins in an unreachable place? (Such as dodging into a pit or pond).
If nothing else, sometimes it helps to toggle/retoggle your militia, to see if that can't fix it. Ultimately, move orders tend to be easier than carrying out attack orders -- try stationing them near the goblins in question?