There might be any error in javascript.
Its working fine at my end.
Try this code in a new page. Its working.
<asp:RadioButtonList ID="rbgThreadStatus" runat="server" RepeatDirection="Horizontal"
OnSelectedIndexChanged="rbgThreadStatus_SelectedIndexChanged" onclick="return rdblst_onClick();" />
<asp:ListItem Selected="True" Value="0">Alpha</asp:ListItem>
<asp:ListItem Value="1">Bravo</asp:ListItem>
<asp:ListItem Value="2">Charlie</asp:ListItem>
<asp:ListItem Value="3">Delta Tickets</asp:ListItem>
<asp:ListItem Value="4">Echo</asp:ListItem>
</asp:RadioButtonList>
<input type="hidden" value="0" id="hdnValue" runat="server" />
<script type="text/javascript">
function rdblst_onClick() {
alert('hello');
}
</script>