Though FFXI can be, like any MMORPG, great for roleplaying, it doesn't exactly cater to it. There are no RP-preferred or RP designated servers, the majority of the players are not interested in it, doesn't know what it is, doesn't like it, etc.
Yes, there are some roleplayers, myself included (but not in this game anymore, sadly), but they are very few and far between. Where games like Ultima, WoW and EQ2 you can find RP in spatial a good portion of the time (depending on server type, of course) for FFXI, your best bet is finding an RP Linkshell.