There are possibly two different issues here.
Issue 1 is that some students are under the mistaken impression that the symbol $\sqrt{5}$ actually designates two different numbers, one positive and one negative. I have even heard high school teachers (in the United States) tell students this; it seems to be a very pervasive belief and you can find many examples of it on MSE. If this is the case, then the problem is not that they don't know that there are two solutions, it's that they don't know the correct way to denote it. Notation, of course, is just a convention, so this would be more of a failure to adapt to the common culture of mathematical writing than it would be a failure of comprehension.
One way to identify if this is, in fact, what's happening would be to give an example in which the square root is a simple whole number. If you give the equation $x^2=9$, would they say $x=3$ or $x=\pm 3$? If the issue is purely notation -- that is, if the problem is that they think the $\pm$ symbol is already "built in" to the radical sign -- then they will include it explicitly when the square root can be evaluated exactly, and drop it when the square root cannot be completely evaluated.
The second issue is this:
I've told them several time during lectures and exercise sessions.
Maybe the problem is that you're telling them during exercise sessions. I don't know what the format of your exercise sessions is -- in particular I don't know whether you're presenting the solutions, or having students present solutions -- but if the students are the ones showing their work, and such a mistake occurs, you can stop and ask "Are you sure that's right?" In my experience this is even more effective when the answer is extremely simple. I have had Calculus students go from $x^2=25$ to $x=5$; asking "Are you sure that's right?" typically catches them off-guard, precisely because of course they're sure that $5^2=25$. If that doesn't give them enough of a hint, prod them "Is $5$ the only number whose square is $25$?" However you get them there, the goal should be for them to tell you that there's a second, negative solution. If they figure it out themselves once, they will be much more likely to remember it than if they are told it fifty times.