Diagnosis
The speaker is in setup mode but your phone is not on the same Wi-Fi network it's trying to join. The green blinking light confirms this.
How to Fix It
Go to your phone's Wi-Fi settings. Connect to the network named "Sonos-XXX" that the speaker is broadcasting. Then return to the Sonos app. The setup should now find it. Complete the steps to connect it to your home Wi-Fi.
If That Didn't Work
Force a factory reset. Unplug the speaker. Hold down the Join button on the back. While holding it, plug the power back in. Keep holding until the light flashes orange and white. Release. This resets it. Try setup again from scratch.
Heads Up
During initial setup, your phone must temporarily connect to the speaker's own network. Do not skip this step. Your phone will switch back to your home network automatically later.