Change WordPress user roles and capabilities › Forums › How to or FAQ › prompt for user login, for restricted content-pages › Reply To: prompt for user login, for restricted content-pages
User Role Editor does not offer a redirection option currently. Look at redirection plugins from wordpress.org/plugins repository.
Thanks for suggestion. As you are not the 1st person who asked about a redirection feature instead of HTTP 404 or simple access error message, I will consider to add it to one of a future updates.