It shouldn't do that. Are you in neutral when you shift? The sequence is in the owners manual. Does the light flash also? Is the green 4wd icon on(not flashing?), "4low" in amber should come on and not flash or beep when switch is moved to 4low. If it flashes, switch back to 4hi, roll forward a little, shift to neutral, then move switch back to 4low. Some times the gears don't mesh properly, that's why you need to roll forward some times. When it flashes, are you in 4 low or high? You'll know, 4 low only goes max 40mph at 4,000 rpm (overdrive is locked out in 4 low). If you are indeed in 4 low, and the light still flashes, there is a problem with the sensor, and needs to be fixed.
So it should go: green 4wd icon(front axle engaged), amber "4low" icon, red 4wd icon (if you have the TRD locker). Nothing should be flashing.
Good luck and let us know how it turns out.