Both commenters are correct, especially since Semantic Web is not a database, it's a bit more general than that.
But I guess you might mean triple store, rather than Semantic Web in general, as triple store v. relational database is a somewhat more meaningful comparison. I'll preface the rest of my answer by noting that I'm not an expert in relational database systems, but I have a little bit of knowledge about triple stores.
Triple (or quad) stores are basically databases for data on the semantic web, particularly RDF. That's kind of where the similarity between triples stores & relational databases end. Both store data, both have query languages, both can be used to build applications on top of; so I guess if you squint your eyes, they're pretty similar. But the type of data each stores is quite different, so the two technologies optimize for different use cases and data structures, so they're not really interchangeable.
A lot of people have done work in overlaying a triples view of the world on top of a relational database, and that can work, and also will be slower than a system dedicated for storing and retrieving triples. Part of the problems is that SPARQL, the standard query language used by triple stores, can require a lot of self joins, something relational databases are not optimized for. If you look at benchmarks, such as SP2B, you can see that Oracle, which just overlays SPARQL support on its relational system, runs in the middle or at the back of the pack when compared with systems that more natively support RDF.
Of course, the RDF systems would probably get crushed by Oracle if they were doing SQL queries over relational data. But that's kind of the point, you pick the tool that's well suited for the application you want to build.
So if you're thinking about building a semantic web application, or just trying to get some familiarity in the area, I'd recommend ultimately going with a dedicated triple store.
I won't delve into reasoning and how that plays into query answering in triple stores, as that's yet another discussion, but it's another important distinction between relational systems and triple stores that do reasoning.