Untested:

use strict;
use warnings;
die "Usage $0 from to" unless @ARGV == 2;
my $to = pop @ARGV;
$to .= ".%03d";
my $count = 1;
my $fh;
while (<>) {
    if ($. % 4000 == 1) {
        unless ($. == 1) {
            close $fh or die;
        }
        open $fh, ">", sprintf $to, $count ++ or die;
    }
    print $fh $_;
}
close $fh or die;
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