Because they usually fight with the goblins using weapons similar to their civilization, in that situation, those goblins weren't used to battling enemies like Zhou Tian. As a result, due to a lack of understanding of Zhou Tian's abilities, they had no mental preparation after seeing his performance.
Fear comes from a lack of understanding. Every living being has this instinct, they tend to imagine wildly when faced with something they don't understand. Most of the legends on Earth came about under such circumstances. Similarly, even humans fear the unknown, much less the naturally timid goblins, who prefer to let their imaginations run wild in the face of things they can't comprehend.
