Goats are like weasles- once they know where the good stuff is, there's no keeping them out of it! So maybe your goats are happier in their pen then out. Also depends on the breed and age. Sexually mature goats tend to want to roam more. And some breeds, like Boers for instance, are more like sheep and don't challenge fences. There's a huge herd of Boers down the road from us they keep in with two strands!