T.S.
They really won't understand because they have no experience with moving. Also "out of state" means nothing to a 4 year old because they don't know geography.
Get a wooden puzzle of the 50 states and do it with them regularly. Have them recognize AZ and your new home state (as well as the states of other friends and family), so they can start to see that they are in different places.
There are lots of kids books about moving. Talk to the children's librarian and get a few to bring home.
Ultimately, they'll get it when it happens.
HTH
T.