I reckon somebody said it once, and every person who wrote a self-help book or article subsequently, quoted it or repeated it and somehow it has become this irrefutable, magical, meta-truth that only losers will dare refute. Question to those gurus: Can someone, anyone, actually quote some research that proves that this is so?
The act of writing the goal down has nothing, absolutely nothing, to do with the achievement of that goal. You can wear your lucky underpants all you like, but it ain't gonna make your footy team win.
There is a psychological phenomenon (e.g. post-purchase cognitive dissonance) that plays a role. Have you noticed how, once you have bought a new car, you suddenly notice how many of them are on the road? Or the opposite - when you need new tyres, you suddenly notice the ads which previously was just visual pollution?
Writing down your goals is little like that: As soon as you become aware or focussed on something, you will suddenly start realising and 'seeing' the opportunities to make the goal come true. When you take the opportunity, you have a much better chance of achieving the goal. The positive thinking brigade confuse the writing of the goal with the actions taken.
The real key to success or failure is whether you do something about the goal. It is the action you take, not the goal you dream. Writing a goal down is not the only way to become or remain focussed on the right processes. If your guru or your coach plays this particular card, chances are they learned to coach by reading a lot of the same books and are regurgitating what 'everyone else' is saying. (Fire them: you will be drinking from that well for a very long time and they are assured of an annuity income stream based on your perpetual unhappiness.)
Not all goals are achieved. There is no 'Secret'. Life is bitch and then you die. You do what you can with what you've got, and that is about it. I can prove to you mathematically that not everyone who wrote down their goals or visualised their dreams became rich and famous. (It is called average per capita income.) Some people are dealt a rotten hand and that is the way it is.
The only thing that I can agree with, with the positive thinking brigade, is that you should never give up.
I am not advocating pessimism. I am not giving you an excuse to cop out. The real key to success is to focus on 'processes', not the end-result. Have a bias for action. (Some even call it 'process goals' and that is ok with me.) Your "goal" should be to go for 2 aces in ever match, not to 'win' the match. Your challenge is to find the processes that will lead to the outcome you want.
Obsessive goal orientation will lead to perpetual unhappiness, because by definition you have to keep moving the goal posts: higher, further, richer or whatever. Find your joy in the moments of doing the things that make you a better person, that makes the world a better place or things you find some meaning in. Do the things that evoke your passion, and you have achieved success. If you don't agree, you need to re-define success...