Loop through 2 sheets

You're giving us the minimum information possible. What are you trying to do? What are the variables? Is this line a typo?

Sheets("sheet3").Range("B1").Offset(Row, 0).Value = Za = a + 1

For I = 1 To 2
Sheets(I).Select
For Row = 0 To x
Z = Application.CountIf(Rows(a),"JEF")
Sheets("sheet3").Range("B1").Offset(Row, 0).Value = Z 
a + 1
Next
Next I

typo indeed.
Well, not a lot more of information is required.
for example, I'm counting all the people named JEF in sheet 1 and 2.
In sheet 3 you can see the results.
So, I tried this For Next, to loop through the two sheets, but the results are 0.

For I = 1 To 2
Sheets(I).Select
Next I

But, if I do it without the loop for worksheets. It works perfectly, the negative point is that my code is twice as long.

Try referencing the sheet directly

Z = Application.CountIf(Sheets(I).Rows(a)

and remove the Select line. I still can't follow your code - you should define your variables.

Also, since you're asking a question here don't you think we should be the judge of how much information is needed?

Sub CountJEF()
Dim a, x, num As Integer
a = 1

'Copie the names from sheet1 to sheet3 (where the results are showed)
Worksheets("sheet1").Select
Range("A1", Range("A" & Rows.Count)).Copy Worksheets("sheet3").Range("A1")

'Making a loop to count JEF in 1 sheet
x = Range("A1").CurrentRegion.Rows.Count - 1
For Row = 0 To x
num= Application.CountIf(Rows(a), "JEF")
Sheets("Test2").Range("B1").Offset(Row, 0).Value = Num
a = a + 1
Next

End Sub

This works, the right results are showed

Sub CountJEF()
Dim a, x, num As Integer
a = 1

'Copie the names from sheet1 to sheet3 (where the results are showed)
Worksheets("sheet1").Select
Range("A1", Range("A" & Rows.Count)).Copy Worksheets("sheet3").Range("A1")

'Making a loop to count JEF in 2 sheet
x = Range("A1").CurrentRegion.Rows.Count - 1

For I = 1 to 2
For Row = 0 To x
num= Application.CountIf(Sheets(I).Rows(a), "JEF")
Sheets("Test2").Range("B1").Offset(Row, 0).Value = Num
a = a + 1
Next
Next I
End Sub

This doesn't work, all the results are 0

I hope this is enough information

Repeatedly posting the same code is not information. Post a workbook. I don't see why you can't use formulae anyway.