I've never used (or heard of) romannum, but I bet it works something like:
\documentclass{article}
\newcounter{fingers}
\def\romannum#1{\setcounter{fingers}{#1}\Roman{fingers}}
\begin{document}
\romannum{4005}
\end{document}
Revised solution:
\documentclass{article}
\makeatletter
\def\romannum#1{\bgroup
\count1=#1\relax
\ifnum\count1<4000\relax@Roman{\count1}%
\else
\count2=\numexpr \count1/1000\relax
\sbox0{@Roman{\count2}}%
\count1=\numexpr \count1-1000*\count2\relax
\usebox0\llap{\rule[\dimexpr \ht0+1pt]{\wd0}{0.5pt}}@Roman{\count1}%
\fi
\egroup}
\makeatother
\begin{document}
\romannum{4005}
\romannum{5000}
\romannum{9005}
\end{document}
This version uses the xstring package to replace I with M etc. in the times 1000 roman numerals.
\documentclass{article}
\usepackage{xstring}
\newsavebox{\vbar}
\sbox0{V}\savebox\vbar{\usebox0\llap{\rule[\dimexpr \ht0+1pt]{\wd0}{0.5pt}}}%
\newsavebox{\xbar}
\sbox0{X}\savebox\xbar{\usebox0\llap{\rule[\dimexpr \ht0+1pt]{\wd0}{0.5pt}}}%
\newsavebox{\lbar}
\sbox0{L}\savebox\lbar{\usebox0\llap{\rule[\dimexpr \ht0+1pt]{\wd0}{0.5pt}}}%
\newsavebox{\cbar}
\sbox0{C}\savebox\cbar{\usebox0\llap{\rule[\dimexpr \ht0+1pt]{\wd0}{0.5pt}}}%
\newsavebox{\dbar}
\sbox0{D}\savebox\dbar{\usebox0\llap{\rule[\dimexpr \ht0+1pt]{\wd0}{0.5pt}}}%
\newsavebox{\mbar}
\sbox0{M}\savebox\mbar{\usebox0\llap{\rule[\dimexpr \ht0+1pt]{\wd0}{0.5pt}}}%
\makeatletter
\def\romannum#1{\bgroup
\count1=#1\relax
\ifnum\count1<4000\relax
@Roman{\count1}%
\else
\count2=\numexpr \count1/1000\relax
\count1=\numexpr \count1-1000*\count2\relax
\edef\tempstr{@Roman{\count2}}% substitute letters
\StrSubstitute{\tempstr}{M}{\usebox\mbar}[\tempstr]% goes first
\StrSubstitute{\tempstr}{I}{M}[\tempstr]%
\StrSubstitute{\tempstr}{V}{\usebox\vbar}[\tempstr]%
\StrSubstitute{\tempstr}{X}{\usebox\xbar}[\tempstr]%
\StrSubstitute{\tempstr}{L}{\usebox\lbar}[\tempstr]%
\StrSubstitute{\tempstr}{C}{\usebox\cbar}[\tempstr]%
\StrSubstitute{\tempstr}{D}{\usebox\dbar}@Roman{\count1}%
\fi
\egroup}
\makeatother
\begin{document}
\romannum{4005}
\romannum{5000}
\romannum{9005}
\romannum{17005}
\romannum{1000000}
\end{document}