Did you just get a simple cable that has an HDMI connector on one end and round colored connectors on the other? If so, that won't work. You need a converter, not a cable. It should be a small box. Something like this. Note that I can't vouch for that particular box, but that's the kind of thing you're looking for.
To answer your question, the last Roku that had composite outputs (not component; there was never a Roku with component outputs) was the 2018 Express+. It's not available anymore.
