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The men, aged 36, 39, 45 and 63, were arrested under the Terrorism Act by police earlier this week.
A PSNI spokesperson said: “The investigation remains ongoing.”
Ms McKee, 29, was shot dead in Londonderry in April 2019 as she observed rioting in the Creggan area.
The extremist group that styles itself as the New IRA has previously claimed it was responsible for killing the journalist and author.
Three men have already been charged with the murder of Ms McKee and another five have been charged with rioting and associated offences.