Is it possible to connect 4 Razor IMUs with 1 single Arduino Mega 2560?

First question - yes. The IMU has equivalent of an Uno onboard to manage the 3 sensors.
2nd question - yes, but need an I2C multiplexer if the Sensor Stick does not provide for different I2C addresses via onboard jumper or something.

3rd question - Xbee also uses Serial interface, so you may need Serial multiplexing to go with question #1. Or an RS485 buss & have all the serials multiplexed to one '2560 part.
Max488, Max489 kind of part for duplex comm's.
Max485 kind of part for half duplexe comm's.
http://datasheets.maximintegrated.com/en/ds/MAX1487-MAX491.pdf