Using multiple transistor to increase current handling
I need to make circuit that will convert 24 V to 5 V, 4 A.


OK, that will be 20 W out.


  I have bought LM7805 mosfets ...


The LM7805 is not a MOSFET, it's a complete voltage regulator.


  ... and they are converting 0-40v to 5v 1.5A. 


If you were to draw 1.5 A while powering the regulator with 40 V you would have PIN = 40 &times; 1.5 = 60 W and POUT = 5 &times; 1.5 = 7.5 W out. > 80% of your power would be wasted as heat until the device burnt out or shut down due to over-temperature.


  Problem is that I need minimal of 4A at the end so connecting 4 transistor in paralel should give me 6A on the output (6 * 1.5A)? 


Maybe.


  I tried this and it does not work.


It is not clear what you mean be "does not work" and without a schematic I can't hazard a guess at what you have built.

A linear voltage regulator is a very poor choice for your application. You need a DC/DC power converter or a switching power supply which will efficiently step down the voltage. A good one should have an efficiency of around 90% and will avoid the horrendous heat problems your present approach would have.