If suitably enclosed I do not see why golf clubs can not be taken on a train like any other reasonable sized luggage.
If NOT enclosed, railway staff or police officers MIGHT consider them to be potentialy an offensive weapon. A lot would probably depend on the time of day, and the demeanour of the person carrying them.
A full set of golf club clubs in a proper caddy, trolley or other container, during daylight or early evening, probably OK.
A couple of loose clubs, late at night, probably not.
Similar arguments could apply to cricket or baseball bats and some other sporting equipment, depending on circumstances these could be normal luggage or offensive weapons.