No, to "go clubbing" means that they go with their friends to clubs. A club is a kind of bar, usually people go there to drink and dance, sometimes there are live performances or drinking games. They are usually filled with loud music and drunk people. Lots of fun! :)

I think you may be referring to the expression to club together, which means for a group of people to each pay an amount of money for a collective present..eg her friends clubbed together to buy her a new fridge as a wedding present.