I received and connected my Roku 4 up this evening. Within a few moments of linking it to my account, the fan turned on and stayed on the entire time I was testing and viewing content. It is very loud. The sound is easily noticeable when viewing a program and often drowns out the sound of the movie. After closer inspection, it seems like the blade of the fan is hitting the inside of the top of the box. The top of the Roku is a bit concaved and with very little pressure on the top, the fan gets even louder and/or stops. I don't recommend trying that though. This has to be a defect. I have yet to see a review that mentions this noise. Roku needs to make this right and I highly doubt a software update will fix this issue.
I own or have owned the Roku, Roku XD, Roku 3, Roku 4, Nexus Player and Chromecast