Security for Bluetooth 4.0
I find this hard to comprehend:


  "We are sending data to some BLE 4.0 station , where the station is advertising data, and a mobile phone is picking the signal, than connect to it, and send it data"


Firstly, station is not the term for the device. Usually people call it the Peripheral or GATT Server.
Secondly, when you say advertising, its an implicit assumption that it is not connected with your Smartphone application which we call Central, yet.
Yes, you are right about "a mobile phone is picking the signal, than connect to it, and send it data", technically speaking, the Central scans for active BLE devices which are in advertising mode, and connects with the appropriate/desired Peripheral. And, then only data transfer (from Central to Peripheral) can take place, while it is very common that data is transferred from Peripheral to Central via advertisement packets, so not needing to be connected.


  "Moreover, even if we use PIN code, the moment i send the PIN code, after connection, anyone can also listen to it, and resend it ,thats because all the communication in the 4.0 is transparent to everyone"  


This is technically called as Eavesdropping. By enabling MITM protection, you can get over this issue. More about the same on LE Security: developer.bluetooth.com