The Rainbow Goblin is a rare variant of the Treasure Goblin in Diablo III, introduced patch 2.1.0. They only appear in Adventure Mode, and never in Nephalem Rifts.
They do not have any special drop, but open a portal to Whimsydale when killed. Raibow Goblins have a cute, bright blue and rainbow appearance to distinguish them from normal Treasure Goblins.
See also
Gallery
Treasure Goblin plushie (Whimsyshire variant)
Rainbow Goblin as in game (modeled after the plush toy)