Hmm...
When I did it, I used a crossing window to select all the entities I wanted to move, and then moved them.
Again, make sure the entities you are trying to move are not on a locked layer, or even a layer that may be turned off.
Also, if the drawing is a paper-space/model-space drawing, make sure all entities are in the same space. If not, you'll need to be more methodical with the move command.
Finally, check your options dialog box, under selection tab make sure the box labeled "Use shift to add to selection" is not checked, (or if this the way you prefer to create selections, make sure you are using the "Shift" key).
HTH
Todd