MySQL 8.0

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CREATE TABLE t
    (`id` int, `device` varchar(13), `state` int, `timestamp` datetime)
;
    
INSERT INTO t
    (`id`, `device`, `state`, `timestamp`)
VALUES
    (250708, '1004-3-007294', 9, '2019-02-01 09:20:00'),
    (250694, '1004-3-007294', 8, '2019-02-01 09:31:00'),
    (250769, '1004-3-007294', 7, '2019-02-01 10:04:00'),
    (250774, '1004-3-007294', 5, '2019-02-01 10:13:00'),
    (250778, '1004-3-007294', 4, '2019-02-01 10:20:00'),
    (250785, '1004-3-007294', 11, '2019-02-01 10:27:00'),
    (250808, '1004-3-007294', 4, '2019-02-01 10:29:00'),
    (250814, '1004-3-007294', 11, '2019-02-01 10:36:00'),
    (250795, '3091-5-007208', 7, '2019-02-01 10:39:00'),
    (250819, '3091-5-007208', 5, '2019-02-01 10:42:00'),
    (250832, '3091-5-007208', 4, '2019-02-01 10:58:00'),
    (250837, '3091-5-007208', 11, '2019-02-01 11:02:00'),
    (250846, '3091-5-007208', 4, '2019-02-01 11:13:00')
;
SELECT	t.device,
	t.TimeStamp AS ChangedToFive,
	t.NextTimeStamp AS ChangedFromFiveToFour
FROM	(	SELECT	*,
			LEAD(State) OVER(PARTITION BY device ORDER BY TimeStamp) AS NextState,
			LEAD(TimeStamp) OVER(PARTITION BY device ORDER BY TimeStamp) AS NextTimeStamp
		FROM	t
	) AS t
WHERE	t.State = 5
AND	t.NextState = 4


device
ChangedToFive
ChangedFromFiveToFour


1004-3-007294
2019-02-01 10:13:00
2019-02-01 10:20:00

3091-5-007208
2019-02-01 10:42:00
2019-02-01 10:58:00


SELECT	t.device,
	t.TimeStamp AS ChangedToFive,
	t.NextTimeStamp AS ChangedFromFiveToFour
FROM	(	SELECT	*,
			(	SELECT	TimeStamp
				FROM	t AS t2
				WHERE	t2.Device = t.Device
				AND	t2.TimeStamp > t.TimeStamp
				ORDER BY TimeStamp
				LIMIT 1
			) AS NextTimeStamp
		FROM	t
		WHERE	t.State = 5
		AND	(	SELECT	State
				FROM	t AS t2
				WHERE	t2.Device = t.Device
				AND		t2.TimeStamp > t.TimeStamp
				ORDER BY TimeStamp
				LIMIT 1
			) = 4 -- next state = 4
		) AS t


device
ChangedToFive
ChangedFromFiveToFour


1004-3-007294
2019-02-01 10:13:00
2019-02-01 10:20:00

3091-5-007208
2019-02-01 10:42:00
2019-02-01 10:58:00

device	ChangedToFive	ChangedFromFiveToFour
1004-3-007294	2019-02-01 10:13:00	2019-02-01 10:20:00
3091-5-007208	2019-02-01 10:42:00	2019-02-01 10:58:00