John 5:39-40 records Jesus speaking to a group of Pharisees, who thought they were going, to "make it" on their own -"You diligently study the Scriptures, because you think that, by them, you possess eternal life. These are the scriptures, that testify about Me, and yet you refuse to come to Me, to have life."
When Paul was writing to the Church in Rome he frames our need for God, the God we know in Jesus, in terms of 'sin' and 'salvation'. We're all sinners (we all have a broken relationship with God) and God's purpose is salvation.
Paul argues that none of us is exempt; we all need salvation. In the second part of Chapter 2 Paul argues that, like the Pharisees Jesus spoke of, even the religious person needs forgiveness and salvation.