The quartet were held in connection with the death of 33-year-old Stuart Smith, who had been beaten to death in Liverpool city centre in the early hours of Sunday morning.
Emergency services were called to the incident at Back Colquitt Streete at 2.45am and Smith was rushed to Royal Liverpool University Hospital, but died from his injuries.
The four men - two 39-year-olds, a 37-year-old and a 27-year-old - were arrested in the away supporters' section of Anfield during the second half of Sunday's match, which Arsenal won 2-0. All four men remain in custody.
Police believe that the attack on Londoner Smith may have been caught on a mobile phone video and may even have been posted on YouTube.
"Officers are keen to talk to anyone who was in the area at the time and may have witnessed the incident. They are particularly keen to trace a man who may have captured part of the assault on his camera phone," a Merseyside Police spokesman said.
The spokesman added that they do not believe the murder was either gang-related or motivated by football rivalries, nor do they think that Mr Smith knew his attackers.
Local residents and businesses have been left shocked by the bloody incident.
"We are appalled and upset about this isolated incident which has happened in what is a very friendly neighbourhood of bars, restaurants, offices and residences," said a spokesman for the Chameleon Bar, which is on the street where Smith was killed.
"We all send our sincere condolences to the family of the deceased."