Help me understand this logic difference, and why it does not work. Translating Pseudocode to a Function

So I am working through this example to translate pseudocode and make a function that calculates GPA, grades being passed are all between 1-4, and I had everything right except my code was returning invalid grade. After viewing the solution video, I see Dave uses the logic:

if (grade < 1 || grade > 4) {
      console.log("Invalid Grade " + student_grades[i]);
      return console.log("cannot complete calculation");

However, my original idea behind this function was to use the following and it fails, but to me it makes sense. I am not sure why it fails and just would like to understand. All grades being passed are between 1 and 4, and it tells me invalid. I do see now Dave's is more eloquent than mine of course, but given only 4 values to compare I first went with this.

if (grade !== 1 || 2 || 3 || 4){
      console.log("Invalid Grade " + student_grades[i]);
      return console.log("cannot complete calculation");

I may not be understanding the logical operator correctly I assume, as to me it seems like it should compare, between 1-4, and if not return, otherwise continue. Thanks!