The sun in Tolkien's universe was made by the Valar (i.e. angelic beings, subservient to the one God Eru) created the sun and hallowed, so the light of the sun is holy and good. Goblins were created in darkness (in the depths of the dungeons of Utumno, by the Dark Lord Morgoth)(effectively the Devil) and find contact with all things good (like light) painful. This is a common theme in Tolkien's books - evil beings are confounded by objects imbued with the power of good - Gollum can't even abide touching elven rope or elven food, Morgoth's hands are literally burned by touching the Silmarils, the Ringwraiths shy at approaching a clean river, even the name of Elbereth is said to be power at times.
That at least is the in universe answer. More broadly, evil things fearing light is something of a trope in many cultures. In particular, Tolkien was a devout Roman Catholic and he seems to have incorporated many broadly Christian ideas into Middle Earth. In Christianity, goodness and God are often associate with light and in particular the sun. Think of the traditional image of heaven as clouds or the presence of God symbolized as the sun's light emerging from behind clouds. Have you ever seen heaven depicted at night? If day and the sun are associated with good and God, the Devil and evil are associated with night and darkness. I do not know whether Tolkien decided consciously to make this parallel in Middle Earth.
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