Frankly, I wouldn't want to game with these folks, but I understand that your situation is different.
You've got a couple of possible courses of action:
(1) Turn it around on them. The next time they complain, sigh, and say, "Yeah... I didn't think you guys would be able to handle something like this. It's just too hard for you..." If they're always bullying you, a little of the same psychology on them might work. You might find them jumping up and saying, "Whoa, now! We never siad we can't do it!" If they do, you've got them hooked. Make it a hard combat, but in the end, make sure you praise them: "Wow... You guys did all right against that. I'm gonna have to come up with something else that'll be more of a challenge." Of course, remember that you shouldn't be trying to
beat them, so there's no animosity.
(2) Bring in a new monster. Create a monster for your game -- call them Galeromites or something

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you know that they're just goblins, but make sure your players know that these monsters are capable of gaining class levels. If necessary, show them a write-up of a "generic" type of Galeromite. Tell them that not all Galeromites will be this easy.
In a situation like yours, it's hard not to degenerate into a "Nuh Uh! -- Yuh Huh!" argument, but you should try not to let it get to that. Show them that in the Monster Manual (or many other sources) critters can advance "as character class." Tell them that some of the monsters will do that. Perhaps, it wouldn't hurt to ask them the following:
You: "Ok, we've got a lair of goblins. They have a leader, right?"
Them: "Yeah, he's probably got more treasure, too!"
You: "Ok... How did he get to be the leader? He's tougher, right?"
Them: "Well, yeah..."
You: "So, if I use the rules provided, maybe he's a 3rd level fighter, right? Otherwise, how will he keep all of those other goblin grunts in line?"
Them: "Well, isn't that what the goblin guards are for?"
You: "Yeah, thanks. I forgot about the guards. They're going to be stronger than the regular goblins. And that means the goblin leader is going to be stronger than the guards, otherwise they'll start to think that
they should be running the clan!"
Them: "Huh... Yeah... I guess so."
You: "And if the goblin leader and the goblin guards are higher level, don't you think they'll probably have more treasure, too?"
Them: "Yeah, that's right! What's wrong with you?! You should be throwing bigger things against us so we can get more treasure!"
You: (thinking to yourself) "Suckers..."