There's no difference. This is often used as a euphemism for "I'm out of work", or "I'm unemployed", or I can't find a job... Just sounds a bit more positive.

Hi, there isn’t much difference to be (in) between jobs: to be looking for work, to be unemployed. It’s an idiom. To be between jobs is used to say that somebody has left one job and is looking for another.

No difference, they can be used interchangeably, and you probably know what they mean but it just means you're looking for a job after losing one