Note that $$
4^4 | 10^{10}
$$
but $4 \nmid 10$. The basic reason why this doesn't work is that if we consider a prime $p$ and look at $\nu_p(k)$, the maximum power of $p$ which divides $k$, then $n^n | m^m$ implies that $n\nu_p(n) \leq m \nu_p(m)$ i.e. $\nu_p(n) \leq \frac{m}{n} \nu_p(m)$ for every prime $p$, while $n|m$ implies $\nu_p(n) \leq \nu_p(m)$ for every prime $p$. You can see that going from the weaker to the stronger statement is a jump in an inequality that could be violated for small primes.
In fact, as pointed out in a deleted answer, $n=4$ and $m=2k$ for any odd $k>4$ works, and you can try to verify this yourself. I've picked out the smallest counterexample.
EDIT : Suppose that $n= p^2$ for a prime $p$ then $n^n | m^m$ for $m>p^2$ a multiple of $p$ but not $p^2$. However, $n \nmid m$. I thank Jyrki in the comments for this example. This can be extended to $n$ being a multiple of $p^2$ and $m$ being a multiple of $\frac np$ without being a multiple of $p^2$ for any prime $p$.
Essentially, one creates contradictions in the given statement by realizing that for every prime $p$, $\nu_p(n) \leq \frac{m}{n} \nu_p(m)$ can be ensured by raising $m$ so that $\frac mn$ becomes large enough. This can be done, even if $\nu_p(m)$ is just conditioned to stay non-zero and below $\nu_p(n)$, in which case $n \nmid m$.