java.time
The java.util Date-Time API and their formatting API, SimpleDateFormat are outdated and error-prone. It is recommended to stop using them completely and switch to the modern Date-Time API*.
Solution using java.time, the modern API:
import java.time.LocalDate;
import java.time.Month;
public class Main {
    public static void main(String[] args) {
        for (int i = 2004; i < 2009; i++) {
            System.out.println(LocalDate.of(i, Month.JULY, 3));
        }
    }
}
If you want to do it by parsing the string (the way you have posted in the question), use DateTimeFormatter.
import java.time.LocalDate;
import java.time.format.DateTimeFormatter;
import java.util.Locale;
public class Main {
    public static void main(String[] args) {
        DateTimeFormatter dtf = DateTimeFormatter.ofPattern("u/M/d", Locale.ENGLISH);
        for (int i = 2004; i < 2009; i++) {
            LocalDate date = LocalDate.parse(i + "/07/03", dtf);
            System.out.println(date);
        }
    }
}
Output:
2004-07-03
2005-07-03
2006-07-03
2007-07-03
2008-07-03
Learn more about java.time, the modern Date-Time API* from Trail: Date Time.
* For any reason, if you have to stick to Java 6 or Java 7, you can use ThreeTen-Backport which backports most of the java.time functionality to Java 6 & 7. If you are working for an Android project and your Android API level is still not compliant with Java-8, check Java 8+ APIs available through desugaring and How to use ThreeTenABP in Android Project.