If $ a^a\mid b^b $, then for every prime $ p$ such that $ p\mid a$ we must have $ p\mid b $ because $ p\mid b^b $ implies $ p\mid b $. Thus we can write the prime factorizations of $ a$ and $ b$ as $a=p_1^{\alpha_1}\cdots p_r^{\alpha_r} $ and $ b=p_1^{\beta_1}\cdots p_r^{\beta_r}\cdots $. Therefore $$ a^a=p_1^{a\alpha_1}\cdots p_r^{a\alpha_r} ,$$ $$ b^b=p_1^{b\beta_1}\cdots p_r
^{b\beta_r}\cdots $$
So if $ a^a\mid b^b $ we must have $ a\alpha_i\le b\beta_i $, for every $1\le i\le r$, but this doesn't mean that $\alpha_i\le \beta_i $ for every $ i $. It could happen that for some $ i$, $ \alpha_i> \beta_i $ , which would imply that $ a \not\mid b $.
As a example we have the counterexample given in the first answer: $4^4\mid 10^{10} $, but $4\not\mid 10$. In this case $ r=1, p_1=2, \alpha_1=2$ and $\beta_1=1$. So we have $4\cdot 2\le 10\cdot 1$, but $2> 1$.