There are several possible pitfalls. As Rick mentioned, the load on the loop is probably too much for one output. Second, depending on the drive I/O card, the "-" side of the 4-20 mA input on the VFD may be tied to common on the I/O card. If that is the case, only the first VFD will get the signal. Finally, if any drive requires service the integrity of the loop is compromised and you may loose control of all of them.
I suggest you run the 4-20 mA output of the PLC into four I/I signal conditioners. These are around $200 each from M-Systems, A-Pi, Action Instrumets, and others. Now you have one PLC output, but a separate current loop for each VFD, plus isolation from the noise (on some VFDs that can be considerable). I'd suggest using the 24 VDC powered isolators, as loop powered ones may have too much impedence.