I just picked one up and noticed had the same problem after acclimation.
They're bottom feeders, so make sure that food is getting to the bottom of the tank and not getting eaten by faster more aggressive fish. Also try enticing him with food soaked in garlic.
I used a turkey baster to get food to the bottom of the tank and my Goby's hideout. It took a couple of feedings, but he's eating a variety of foods at this point.