I would call that a below-clock, who wants to set the clock speed to 4MHz? xD
Nothing too serious should happen, as chromenut said, it usually gets unstable and shuts itself off. That's the protection against overclock mess-ups or high temperatures
As interesting as running a modern CPU at 4MHz might be, it probably is impossible because structures within the clock generator PLLs would almost certainly be unable to go anywhere near that low.
As for the worst that can happen, none of the CPU's protections can do a thing about overzealous over-voltage and in that case, the worst that can happen is magic blue smoke.