Kids do ask some amazing questions.
I am no expert on child psychology. I am just a philosopher who is also a parent. So please do not take what I will say the wrong way. I do not really mean to be giving parenting advice here.
To some extent, what you should tell your son depends upon your religious beliefs. Some traditions would hold that your son was with God, waiting to be embodied. Some would hold that your son may have had a prior life, about which you would not know very much. But I am guessing that none of these traditions is yours, since otherwise the answer to the question would be clear enough. So I will answer assuming that you believe that, prior to your son's birth, he did not exist. (Note that many religious traditions would hold this view. So this is not a religious vs non-religious issue.)
So, telling your son the truth would mean saying something like this:
We can make cookies, but before we make the cookies, there aren't any cookies. There is flour and butter and sprinkles, but they have to be made into cookies. Before we make the cookies, they aren't anywhere, are they?
Well, Mommy and Daddy made you, but before we made you, there was no you. So no, you were not alone, just like the cookies are not alone before we make them. And like with the cookies, before we made you, the stuff that we made you from was already there. Part of you was already in Mommy (the ovum), and part of you was already in Daddy. [OK, that's not really true if we go far enough back, but let's not be pedantic.] And then we made you, and we sure are glad we did!
I think something like that would be comprehensible to a four year old, and I'd be fascinated to hear how the discussion would continue. But you will have to judge if you think your child is ready for this kind of thing.
It's odd, by the way, how the idea of nothingness after death is so much more terrifying than the idea of nothingness before birth.