Newton's gravitational constant G may vary with time at an extremely low level. The time variability of G will affect the orbital motion of a millisecond pulsar in a binary system and cause a tiny difference between the orbital period-dependent measurement of the kinematic distance and the direct measurement of the annual parallax distance. PSR J0437-4715 is the nearest millisecond pulsar and the brightest at radio wavelengths. To explore the feasibility of achieving a parallax distance accuracy of one light-year, comparable to the recent timing result, with the technique of differential astrometry, we searched for compact radio sources quite close to PSR J0437-4715. Using existing data from the Very Large Array and the Australia Telescope Compact Array, we detected two sources with flat spectra, relatively stable flux densities of 0.9 and 1.0 mJy at 8.4 GHz and separations of 13 and 45 arcsec. With a network consisting of the Long Baseline Array and the Kunming 40-m radio telescope, we found that both sources have a point-like structure and a brightness temperature of >= 10(7) K. According to these radio inputs and the absence of counterparts in other bands, we argue that they are most likely the compact radio cores of extragalactic active galactic nuclei, rather than Galactic radio stars. The finding of these two radio active galactic nuclei will enable us to achieve a sub-pc distance accuracy with in-beam phase-referencing very-long-baseline interferometric observations and provide one of the most stringent constraints on the time variability of G in the near future.