Provided they are a sensible group I would be inclined to let them go, but if this is their first trip, I'd perhaps suggest accompanying them on the train, doing something else for the game then meeting them somewhere after the game to get the train home. That way you have peace of mind that they are okay, they will have an adult presence if they do run into trouble. Also, if you stand back and let them organize themselves, so let them get their train tickets, work out their route to the stadium etc and just observe unless they ask for help, then you can know that they can do it and in future they can be allowed to go alone, as you are safe in the knowledge that you've seen them manage everything.
Having said all that, I do think there are a few key things to consider:
Is it a Premier League club or a lower league team? If it's EPL then there will probably be more people around the stadium and it will generally be busier and there may be stricter security than lower league. (I am a Man Utd fan and security/access to the stadium is much more strictly controlled than my local team in the National League) but then that also means there will be a mlot more hustle and bustle around the stadium, fans in nearby pubs etc and it can be a little overwhelming if you're not used to it.
What time of day is the game? If it's a lunchtime or early afternoon kickoff then it won't be too bad, but if it's a late afternoon/early evening kickoff then by the time the game finishes it may be getting dark/already dark, so would they be confident getting back to the station in the dark?
How far is the stadium from the station and do they know the route? If it's a five minute walk along a main road, then no problem, if they'd have to get a bus, it's a long way or there isn't a direct route to the stadium then there's more chance of them getting lost/possibly split up and I'd want to make sure they knew exactly what they were doing (esp if they have to do the return journey in the dark, as I said above)
Are there regular trains back from the game? If a lot of people are travelling, then the trains might be busy/delayed or if it's a late finish, then they may only have a couple of trains they need to get.