#T-SQL, 164 bytes

SELECT REPLICATE('M',n/1000)+IIF(n%1000>499,'D','')
      +REPLICATE('C',n%500/100)+IIF(n%100>49,'L','')
      +REPLICATE('X',n%50/10)+IIF(n%10>4,'V','')
      +REPLICATE('I',n%5)
FROM t

Line breaks added for readability only.

This version is a lot longer (230 characters), but feels much more "SQL-like":

DECLARE @ INT,@r varchar(99)=''SELECT @=n FROM t
SELECT'I's,1v INTO m
INSERT m VALUES('V',5),('X',10),('L',50),('C',100),('D',500),('M',1000)
L:
    SELECT @-=v,@r+=s 
    FROM m WHERE v=(SELECT MAX(v)FROM m WHERE v<=@)
IF @>0GOTO L
SELECT @r

Makes a table m with all the char-value mappings, and then loops through finding the largest value <= the number, concatenating the matching character.

T-SQL, 164 bytes

SELECT REPLICATE('M',n/1000)+IIF(n%1000>499,'D','')
      +REPLICATE('C',n%500/100)+IIF(n%100>49,'L','')
      +REPLICATE('X',n%50/10)+IIF(n%10>4,'V','')
      +REPLICATE('I',n%5)
FROM t

Line breaks added for readability only.

This version is a lot longer (230 characters), but feels much more "SQL-like":

DECLARE @ INT,@r varchar(99)=''SELECT @=n FROM t
SELECT'I's,1v INTO m
INSERT m VALUES('V',5),('X',10),('L',50),('C',100),('D',500),('M',1000)
L:
    SELECT @-=v,@r+=s 
    FROM m WHERE v=(SELECT MAX(v)FROM m WHERE v<=@)
IF @>0GOTO L
SELECT @r

Makes a table m with all the char-value mappings, and then loops through finding the largest value <= the number, concatenating the matching character.

#T-SQL, 164 bytes

SELECT REPLICATE('M',n/1000)+IIF(n%1000>499,'D','')
      +REPLICATE('C',n%500/100)+IIF(n%100>49,'L','')
      +REPLICATE('X',n%50/10)+IIF(n%10>4,'V','')
      +REPLICATE('I',n%5)
FROM t

Line breaks added for readability only.

Using REPLACE for 500/50/5 was surprisingly almost as short (167 bytes):

SELECT REPLACE(REPLACE(REPLACE(
        REPLICATE('M',n/1000)+
       REPLICATE('C',n%1000/100)+
       REPLICATE('X',n%100/10)+
       REPLICATE('I',n%10)
  ,'CCCCC','D'),'XXXXX','L'),'IIIII','V')
FROM t

#T-SQL, 164 bytes

SELECT REPLICATE('M',n/1000)+IIF(n%1000>499,'D','')
      +REPLICATE('C',n%500/100)+IIF(n%100>49,'L','')
      +REPLICATE('X',n%50/10)+IIF(n%10>4,'V','')
      +REPLICATE('I',n%5)
FROM t

Line breaks added for readability only.

This version is a lot longer (230 characters), but feels much more "SQL-like":

DECLARE @ INT,@r varchar(99)=''SELECT @=n FROM t
SELECT'I's,1v INTO m
INSERT m VALUES('V',5),('X',10),('L',50),('C',100),('D',500),('M',1000)
L:
    SELECT @-=v,@r+=s 
    FROM m WHERE v=(SELECT MAX(v)FROM m WHERE v<=@)
IF @>0GOTO L
SELECT @r

Makes a table m with all the char-value mappings, and then loops through finding the largest value <= the number, concatenating the matching character.