César:

The 8051 instruction set only has the following four forms of the CJNE instruction.

  CJNE A,direct,rel
  CJNE A,#data,rel
  CJNE Rn,#data,rel
  CJNE @Ri,#data,rel

So when you want to perform an operation
such as to compare two registers you have
to find some other way to do it or move the
data into A and use one of the above forms.

In your post you were trying to compare R4 and R4. The following code sequence would perform that function for you...
<pre>
MOV A, R4
CLR C
SUBB A, R5
JNZ