Codename One doesn't support that package nor many other packages in the Java SE stack. Java SE is too big for mobile, our current hello world for iOS is 3mb and if we supported the full Java SE it would be around 18mb. The same is true for Windows Phone, RIM etc.
There are several solutions including a port of a 3rd party regex cn1lib.
You can see the classes supported by Codename One in the JavaDocs: https://codenameone.googlecode.com/svn/trunk/CodenameOne/javadoc/index.html