According to the Israeli army, the four were in Israel for about a minute and left a tent that read "The March of Return. Returning to the land of Palestine."
Meanwhile, a 41-year-old Palestinian died of wounds sustained during protests some days ago at the border between Gaza and Israel, the Gaza Health Ministry reported on Saturday.
The death of Hussein Abu Awida raised the number of Palestinians killed in the Gaza Strip since March 30, the start of the demonstrations, to 116. During this period, five more people were killed in the West Bank.
Another Palestinian, 24, who was wounded last week by Israeli fire, died from his injuries Friday, according to Gaza's Health Ministry.
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Yasser Habib was protesting east of Gaza City against the relocation of the U.S. embassy from Tel Aviv to Jerusalem. He was later taken to a hospital in Jerusalem where he eventually died of his wounds.
DPA contributed background to this story.