This is an unfortunate clumsiness in the game that I really find lacking. It's kind of like those martial arts movies where you get 50 guys, but they're all polite enough to attack the hero one by one. Pretty dumb stuff.
In a turn-based game, though, I guess it's fairly natural. I think X-COM UFO did it much better though. You wouldn't use up all your movement points for a guy at once, so you could make attacks and defenses with multiple different units for a real combined arms effect. Civ 4 is more like a rock-scissors-paper effect, where if the match-up is wrong, you can basically throw an entire army at an enemy unit and it will wipe the whole army out single-handedly if it's the rock to your scissors, etc.
I'm loving the game a lot, but the combat seems like a dopey, incredibly simplistic let-down. It's been done better before -- infinitely better.