Do you use standalone or domain mode?
In domain mode this command will not work as it is only local available.
Also what version do you use? AFAIK in 7.1.1 the module command was not implemented.
Start the CLI in interactive mode and use tab completition.
I am doing it on standalong. how do I start with the CLI in interactive mode?
You need to start 'bin/jboss-cli.[sh|bat] --connect' after it is connected you can use the 'tab' key to get the available commands, and if you type the command you will get systax help.
But remember if you use 7.1.1 the module command will not be available. For that try 7.1.x (self build by git tags) or use a nighly build.