In many cases, a "current input" is just a precision resistor which the current develops a voltage across, which the analog input measures to determine the current flowing through it.
So, you can connect your multimeter, set for voltage, across the input directly, and measure the volts dropped across the resistor.
Typical values for this resistance is 250 ohms, (but check the specs on your particular module), so a 4  20mA signal would be measured as 1  5V.
An advantage of measuring the voltage on the input, as opposed to breaking the loop and measuring current, is that the voltage measurement will have much less effect on the current flowing in the loop, because the multimeter voltage measurement will be much higher impedance.
