The 28-year-old anchored home the Norwegian 4x7.5 km quartet for a shock victory - their first in the event in 10 Olympics.
Germany missed out on a fourth relay title in a row as they took silver ahead of France.
The drama was played out in persistent snow, making the shooting increasingly difficult.
"I made four good races and got four gold medals, but I don't think too much about the records"
Ole Einar Bjoerndalen
Norway, despite Bjoerndalen's formidable presence, looked to have a weaker team than the Germans and the Russians.
But Bjoerndalen set off for the final leg with a minute's cushion after his three team-mates all produced fine performances.
Halvard Hanevold, Frode Andresen and Egil Gjelland set Bjoerndalen up and he could even afford some wayward shooting in the rifle discipline.
Only two other athletes have won four gold medals in one Winter Olympics.
American speedskater Eric Heiden won five at the 1980 Lake Placid Games, while Russian speedskater Lydia Skoblikova won four at the 1964 Innsbruck Games.
Bjoerndalen said: "I made four good races and got four gold medals, but I don't think too much about the records.
"You just have to do your job."