They're working on raising an army actually:
https://www.politico.eu/article/eu-leader-approve-defense-mi...
"EU leaders approve updated military plan. The strategy envisions the creation of an EU rapid deployment force of up to 5,000 soldiers."
However the EU doesn't need a physical army to stop a country leaving. It just needs sufficiently good control of local politics and law enforcement via loyalists in the countries establishment, which it has already. The EU has already proven it can replace governments in Italy and Greece against the will of the electorate, simply via "soft power" mechanisms like access to ECB liquidity, ECJ judgements and control over local institutions.
In other words an inability to leave the EU doesn't look like an army crushing a well organized political opposition. It looks like that opposition being blacklisted from the press, being spied on by the EU secret police, found guilty of vague laws like "misinformation" with judgements upheld by the European courts, votes being tampered with or outright ignored and more.
This is no theoretical problem. Anti-EU referendums in European countries are frequently ignored, even when in theory they are constitutionally binding. In the UK the Electoral Commission, the supposedly neutral body that runs the election and referendum process itself, was run by EU loyalists who professed in public that they wanted Leave to lose and spent significant amounts of time prosecuting Leave campaigners (fortunately their cases were ruled harassment and tossed out by the courts).
The EU Commission also had a long track record of classifying true reports about their activities in the British press as "myths". These days they'd call it misinformation and try to prosecute the journalists in question.
Ultimately it doesn't matter if a majority of the population want to leave, or reject a new EU proposal, if the people who rule them don't care about democracy and control the levers of power. That's how all dictatorships work.