The following terminal session tells the story.
(Sorry about the long paths!)

A little Ruby program to do a require relative.

$ cat /Users/bobjalex/sbn/sideband/metal/x.rb

!/usr/bin/env ruby

p "loading"
require_relative "metal_lib"
p "done"

A symlink to the above program in /usr/local/bin (it's executable).

$ ls -l /usr/local/bin/x
lrwxr-xr-x 1 root admin 39 Jun 3 17:10 /usr/local/bin/x -> /Users/bobjalex/sbn/sideband/metal/x.rb

Our current directory. The target "metal_lib" is in it.

$ pwd
/Users/bobjalex/sbn/sideband/metal
$ ls metal_lib.rb
metal_lib.rb

/usr/local/bin is in the PATH (long path edited).

$ echo $PATH
...:/usr/local/bin

Run /usr/local/bin/x -- runs fine under Ruby 1.9.3.

$ rvm use 1.9
$ ruby -v
ruby 1.9.3p547 (2014-05-14 revision 45962) [x86_64-darwin13.2.0]
$ x
"loading"
"done"

Run /usr/local/bin/x using jruby. -- fails.

$ rvm jruby
$ ruby -v
jruby 1.7.12 (1.9.3p392) 2014-04-15 643e292 on Java HotSpot(TM) 64-Bit Server VM 1.8.0_05-b13 +indy [darwin-x86_64]
$ x
"loading"
LoadError: no such file to load -- /usr/local/bin/metal_lib
require at org/jruby/RubyKernel.java:1065
require at /Users/bobjalex/.rvm/rubies/jruby-1.7.12/lib/ruby/shared/rubygems/core_ext/kernel_require.rb:55
require_relative at file:/Users/bobjalex/.rvm/rubies/jruby-1.7.12/lib/jruby.jar!/jruby/kernel19/kernel.rb:21
(root) at /usr/local/bin/x:3

Run the little program using jruby without the link -- works.

$ ./x.rb
"loading"
"done"