Assuming the $4000 you stated is referring to child tax credit for 2 children and you qualify for the full $2000 per child...
If you do not claim the entire amount of $4000 on your W4, your employer is not considering the entire tax credit when he calculates how much your tax withholding should be from each paycheck. You will pay more taxes during the year, but will receive a larger refund when you file your taxes.
The same is true if you filed single on your W4, but file your tax return with Head of Household. You would get more back on your tax return because your employer calculated your tax withholding on the single tax rate instead of head of household tax rate. During the year you would be paying too much taxes and would receive the overage on your tax return when filed.
You could also use the "additional withholding" on line 4c of the W4 to allocate a specific amount from your paycheck.
