That's a pretty good indication that you have worn steering spindle bushings. I believe the axle knocks around as it spins while in 2WD. When you engage 4WD, the extra tension on the axle prevents it from moving as much.

Another good test to tell if the spindle bushings are worn is to jack up your front end and grab the axle between the CV boots and give it a shake. If there is play there, and especially if you hear the same rattle noise, you'll know you've found your problem.