how many bolts do you have? if it's less than 100 and you havn't changed the default settings, 100 bolts are always reserved for hunters.
My guess is:
1: not enough bolts. Have about 50 bolts per marksdwarf
2: not enough bolts assigned. In the military screen, under ammunition, the amount assigned isn't per dwarf, it's the total amount.
3: Only one archery target set. As mentioned, each target needs to be set for the squad to use for training
4: targets set for wrong directions, or not for training enabled. As also mentioned, the length to the target may also be a factor
5: Problem with bolts number uncountable (*sigh*, bloody military). They may have trouble switching over to training bolts when they still have combat bolts
It would definately help if you could give some info on how many bolts you have, how many marksdorfs, your settings exactly for bolts, do hunters still have bolts reserved, have you double checked if the ranges are all set up correctly and other such common issues. Please spare me any 'I don't have to check I know I did it right', everyone makes mistakes and it's good to check if you didn't make one. Sorry if that last sentence is a bit sharp and not-nice, I'm a bit tired, time to sleep soon and I heard it too often (and used it myself too, shame on me).
While there do seem to be troubles with marksdwarf training, it's sporadic enough and there are enough people who report no problem at all that I'd first check for mistakes
There used to be a common problem where dwarfs wouldn't change or pick up different bolts when assigned various ones for combat and different ones for training, I don't know if it still exists
Also, @frogwarrior, aside from that issue, if you have 1000 bolts and squad 1 has 500 assigned, as well as 2 and 3 the same amount, and the hunters still have 100, the hunters have first pick of 100, squad 1 has 500, 2 has the last 400, and squad 3 will have none. If you assigned like 1.000 without having enough bolts, the other squads might never get anything