I have a feeling there's more to this question than what you're asking. Do you have some sort of concern?
I know my 4 year old often goes to his room to play with his cars. He has one of those rugs with a city with roads, etc. on it. I will peek in on him from time to time but he's just playing quietly with his cars. It doesn't last all day or anything like that but he might go to his room for a half hour or more just to play with his cars or look at his books.
I think it's good if they can learn to entertain themselves and not have to be entertained by you or someone else all the time.
If however, you're concerned that he's doing something he shouldn't then you just need to calmly tell him not to do whatever he's doing and distract him with something else.
I think it's completely normal. It's a sign of his growing independence. My 4 year old daughter can play independently for hours sometimes. She has even on occasion asked us to go away & let her play by herself. After years of being a stay at home mom, I'm relieved to see this development. It's good for both of us to have some personal time. She does also want to know that we're close by, but otherwise she's happy & so am I.