Tell them that after four years, it was time for a change. And that while it's risky to look for work when you don't have a job, you also found it impossible to do so while you were still working, so you took a chance.
If you were fired for cause (falsifying expense report; sassing off to the boss), I'm not sure how you'd say the above in a way that keeps them from calling to find out. You might want to ask someone to call and see what they say when someone calls for a reference. (Not that this will help in the case of "looking for work in the same industry"--I can always find someone to tell me the actual truth; I *never* call HR to ask for references, I try to find a personal connection)
If you were laid off--reorganized the staff, cut headcount, etc.--just say that. It happens to us all.