Why you want to connect them in series?

Are they on same phase ? If not (3 in 3 pghases) then of course you are on residual current.

But if they are on the same phase then why at all?

The current will not add up exactly, a lot of accuracy loss likely.

why connect cts in series?

do you mean that the cts are on the same primary conductor and you wish to connect the secondaries in series.

if the cts are identical then the effect will be increased volt drop.

question remains - why connect cts in series?

idea not good. :(

Why don't you go straight for a single CT with 4000:5 ?

The only situation I can think of that uses CT secondaries wired in series is for center-tapped single phase metering, which would effect the ratio of 2000:5+5 (2000:10). This method is older tech and was used to account for load usage to earth.

In your question, you have referred to a relay, and at the 4000 amp range of possible currents, I hope this is a homework question. If not, please offer a greater explanation for the reason for this question posed to us, and as many details as you can think of.

You mentioned "have to", indicating you are possibly following an engineering diagram or instructions supplied with the CT's or from some authority. If this relay is the ground fault detection provided with a switchgear of sizable capacity, you really need to have the manufacturer or a qualified engineer or technician assisting you.

We can only guess and offer assumptions with the tiny bits of information we have been given so far.

Regards, CJM

Another possibility is the differential delta, DAB & DAC relay schemes may look to you to be wired in series.