To some degree, wanting to always win, to have the most, to be the best is totally age appropriate behavior in a 4 year old. It is more pronounced in some kids, definitely.
I found this out, I'm embarrassed to say, when I was talking to a friend about my nephew a few years ago. My nephew was 4.5 and during our summer vacation, he drove me absolutely nuts constantly telling my 2.5 year old how much better he could do everything. My little guy would throw a rock into the ocean and my nephew would say "I can throw farther than you." When I was complaining to my friend (whose son was the same age) she told me that she'd learned through research that it is a developmental thing with kids that age, and that it eventually passes or diminishes.
I will say that this trait has continued to some degree with my nephew largely because his father is super competitive and communicates through example that his son should be better than everyone else. But, my nephew has gotten a lot better as he's gotten older and I think a big factor has been peer pressure. Other kids don't want to play a lot with someone who gloats when they win and sulks when they lose.
I'm seeing some of this in my son now. If someone says they have something, he'll tell you he has the same thing. He's not so bad about losing, I don't know why. But, he'll tell you all about his possessions, etc. Even food! If you offer him a yogurt, he'll say "I have yogurt at home." OK, kid, but do you want a yogurt NOW?
One thing we've done is not to tell him that it doesn't matter if you win or lose, because we thought it was a little disingenuous. I mean, everyone likes to win, right? So, we've told him that it is fun to win, but that sometimes, you will lose because that happens to everyone. You try your best, and if you are the winner, you tell the other people/person "Good game, you did well" and be happy. If you lose, tell the other people/person "Good game, you did well" and know that another time you'll win.
When we play games with him, sometimes we let him win, and sometimes we don't. This may sound weird and manipulative, but if he is gloating over winning or freaking out over losing, we'll say, "I don't want to play this game with you any more. You're hurting my feelings and I'm not having fun." We don't get angry or refuse to play with him at all, and we don't mirror the behavior back at him, we just calmly refuse to play that particular game anymore and explain why.
Some kids (like adults) are just more competitive than others. We just try to show our son that you behave a certain way, whether that's your gut feeling or not.
The right preschool will probably be good for your son in this regard. I think a lot of kids take constructive criticism better from adults other than their parents some times. Mine does!
Anyway, your little boy is acting like a 4 year old! :)