Your BCLK is set to 100, not something else like 125?
 
Edit: and are you only changing the CPU multiplier, not the RING multiplier (the RING multiplier should be left at the default setting for now)?

You might just have a bum chip.
 
Try setting the RAM speed to 2133 (which is the default for the 5XXX series) - try again with 39X. Some chips with weak IMCs can't handle higher OCs with the memory OCd as well.

Jet_Bl4ck87
So what is the problem my processor or the motherboard? 

It could be either - I've had a motherboard that couldn't OC a CPU at all (and I mean not even one multiplier higher than stock without BSODs) and the same chip on a different board OCd like a raped ape, and I've had CPUs that don't OC well either. I've found that it is more common to have a CPU that doesn't OC well.
 
It is even possible that the PSU isn't supplying good enough power - but that usually isn't the case unless a weak PSU is used.

Jet_Bl4ck87
Even if the CPU or the motherboard are the problem, the store will not give me a new one because it does not OC well. I guess I have to live with a 3.8 OC which is painful to me... spending so much money in this processor to get so little. On the other hand, if I play with the BCLK multiplier is it dangerous? 

Dangerous? Probably not as long as you aren't running a RAID array. ALL of the motherboard's buses are overclocked when you play with the BCLK, and the SATA bus is the most sensitive. Usually folks can't go much more than 108 before things go haywire.
 
And FWIW, some RAM will set the X99 BCLK to 125 - but the X99 has something built in that compensates for that particular BCLK and the buses, such as the SATA bus, aren't actually OCd. However that's a special case.

Jet_Bl4ck87
Did you change the BCLK multiplier in your build? What do you recommend me to do in my situation? Just live with the 3.8 OC or is it another solution? Also, I saw a couple of videos that do OC to the i7 5820k and in both cases when they set their ram to the XMP profiles the BCLK multiplier was set to 125. Why in their cases this happens? 

My BCLK is 100 with my 3200MHz RAM.
 
RAM that is 2800, 3000, or 3400+ requires the BCLK set to 125 and the XMP profile will automatically set it to 125. 3200, for whatever reason, doesn't need that - nor does 2133, 2400, or 2666.
 
You can always sell the 5820K and buy a new processor.

Looks like its not enough voltage and than you jump to 1.3v.  You should start with +10 increments of adaptive and work from there.  Work your way up slowly.  You should easily get 4.2-4.4. If not, than you have a crappy OCing CPU but its very rare for it to not even go that high.

 I tried 1.150v, 1.175v, 1.200v, 1.210... etc until 1.300v at 4.0. Nothing worked! Maybe there is another option I can change or something I am missing!?