The suspects' car was stopped and searched and "no trace of a firearm was found", Scotland Yard said in a statement, adding that the men had been released on bail pending further investigation.
According to the Sun newspaper, the men tapped on the window of Murray's stationary car after a book-signing in London on Wednesday, trying to get him to sign a racquet.
The Wimbledon champion drove off so they got back in their Mercedes -- but not before a member of the public had called the police and reported that one of them had a weapon.
"The car was subsequently stopped in Tadema Road (southwest London) and four men were arrested on suspicion of being in possession of a firearm.
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"They were taken into custody and on Thursday bailed to return on a date in late January, pending further investigation.
"A search of the car was conducted and no trace of a firearm was found. Enquiries continue."