Unlike the recent WordPress 3.8.3 and 3.7.3 releases, 3.9 is a major release that will not be automatically downloaded and applied to your Web site. You will have to perform the upgrade yourself.
Also check to see if there are any limitations from your hosting provider for updating to WP 3.9. For example, I’ve found that when you’re running WordPress from a GoDaddy account, you’ll want to install the WP 3.9 upgrade from your GoDaddy account instead of doing it from your WordPress dashboard.
And as always, make sure to back up your WordPress database before upgrading. Practice and test your 3.9 upgrade on a test Web site if possible, before upgrading your production site.
For more information on what’s in WordPress 3.9 and to download the upgrade, visit the WordPress 3.9 “Smith” Web page.