I'm going to go out on a limb here a guess that you are not driving on a slick surface that will allow the tires to spin.I'm going to go out on a limb here a guess that you are not driving on a slick surface that will allow the tires to spin.
In short (and imprecisely), since the transfer case is not differentiated (does not allow the front and rear output shafts to turn at different speeds) when the four wheel drive is activated the front and rear drive shafts are effectively connected. When turning, the front and rear wheels (and the left and right, too) follow different paths and these different paths are of different lengths. Since the wheels are rotating at the same speed, they must some must slip or the transfer case binds.
This is what you feel. The clunk, if you are lucky, is not permanent damage.
Only engage the four wheel drive under three conditions:
1) When on low friction surfaces (snow, loose dirt, mud, sand, etc)
2) When driving straight (so that the front and rear wheels are traveling the same distance), but only for short distances. This really isn’t recommended, but may be necessary for troubleshooting.
3) When all wheels are lifted and not on any surface (on a rack). Again, for troubleshooting.