And there is a very good chance that he got these notions from other kids. When the preschool can't tell you specifically what he said - well, I would not be real concerned because it is something that has been repeated and handed down. Ask the preschool to be more specific. It is important.
And there is a very good chance that if you asked him what he said he will not remember. A 4 year old is not very good at that. I would wait until you got more info from the preschool. I would also ask if any other kids have been saying similar things.
I would be concerned about where he got what he said. He acts like he has seen something or has been exposed to something somewhere. Does he get cared for by someone other than you and your husband?
Yes, keep an eye, (or two) on your kid, does he have access to the internet? perhaps he has friend who is telling him these sex stories; something is going on and you have to figure it out!
When i was a young child around 6 i got in trouble for talking about sexual things, writing a note asking if my friend wanted sex. My parents were mad that they were called to the school. I had been sexually molested by my babysitter. Kids dont just start that for no reason. Something is wrong. Seek the answer. I never told my parents because they expressed anger towards me about the situation. Be inquisitive but not aggressive