2002 Jeep Cherokee Changing to 4 wheel drive

I have been using 4 wheel drive and changing back to rear wheel drive. When changing back it doesn't feel like it has successfully changed back. This morning while sitting @ a light, I began to move as the light changed and suddenly there was a big thud or clunk and as I drove, I could tell that 4 wheel drive was finally off. The dash light indicating 4 wheel drive is off or on seems to work correctly.