Take a look at this <a href=”http://www.miislita.com/internet-engineering/mtu-mss-tutorial.pdf”>MTU & MSS tutorial</a>.
How are you writing the 4000-byte TCP segment? Are you using some packet generation software which can modify the TCP headers? What does the TCP header options show in the 3-way handshake? Also, is this capture on the SENDING or the RECEIVING system? It may be that you are seeing the packets before they hit the wire and are fragmented when reaching the destination. Try capturing on both sides and see if the results are similar.
I have seen large packets like this in a LAN environment between Windows hosts where a router is not crossed. You may also take a look at your switch port stats (if they are capable of being managed) and see how many packets go into the >1500 byte packet stats.