Reducing current consumption in deep sleep mode
The datasheet specifies a list of conditions under which those measurements will be valid. These conditions can include a range of things, including supply voltage, clock frequency, temperature, etc. You need to ensure that all of those conditions are met by your setup if you expect to achieve the promised results. 

Also, as others have mentioned, make sure you have isolated the PIC in your current measurements. If you have loads attached to any I/O pins or other loads or leakage paths attached to your voltage supply, then those will contribute to your current draw as well.

Finally, make sure that the tool you are using to measure current draw is calibrated and is capable of making the nA measurement.