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What is Neo4J?
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Neo4j is an open-source graph database, implemented in Java. The developers describe Neo4j as "embedded, disk-based, fully transactional Java persistence engine that stores data structured in graphs rather than in tables". Neo4j is the most popular graph database. Wikipedia
Since RDF and thus OWL is composed of sets of triple describing some domain and subsequently forming a graph, it would be a natural way to store these triples in a triple store. Also, triple stores often support SPARQL queries, the querying language for RDF and OWL. So why not using a triple store? Besides the natural fit for triple-based ontologies, triple stores have a few disadvantages compared to graph databases like Neo4J. As in many cases, the choice of software depends on the application's needs. Graph databases are less powerful in supporting OWL's semantics but more flexible in regards of data. There's lots of other graph and graph-like data, which does not come in the form of triples. Having it in one place reduces complexity and allows for querying over multiple datasets at once. The rational for using Neo4J's graph database instead of a triple store, doesn't advocate to not use triple stores but to provide an alternative way to work with ontology-derived graphs and other graph data.