Do you have checked the server.log file for further informations?
Hmm, no hint as to which version of JBoss AS you are using. You also did not post the configuration changes you made to secure the JMX console. So at this point all I could offer is that you did something wrong and if you fix that then it will work.
If you provide some details on what you did, we can provide some suggestions as to what the problem could be. But most likely the security contraints role name in the web.xml does not match the role defined in the login module.