Thornmail is completely countered by 25% lifesteal if I recall the math post correctly. Most Jax players build Wriggles + Bilgewater Cutlass minimum; which means a baseline of 27% lifesteal (not including the 3% from offensive masteries that most Jax players also have, putting them at 30% lifesteal). Thormail is indeed quite worthless versus Jax, not even including the fact a good 35%+ of Jax's damage is magical anyway.
The only things that soft counter Jax is your standard outlaning, or stacking anti-attack speed debuffs, such as Malphite (or other champion abilities), as well as Randuin's Omen (or just Warden's Mail), Frozen Heart, or other forms of CC (obvious counters to any bruiser). He's a top of the food chain bruiser/carry, who jungles extremely well, and has innate hard CC to boot; he has no true counters, and to believe otherwise is pretty foolish.