WD external hard drive got disconnected without eject
What should I try next?

Remove the drive from the WD enclosure and use a different enclosure/cable to test the drive.
Basically, you have to go through the process of elimination to figure out what your next steps are, if any.  There are two possibilities here:

The drive has failed
The enclosure (USB to SATA controller) has failed.

(I detail this more in this post)
If it's the drive that failed, your only option is to send it in for recovery.  If the USB enclosure has failed, you can salvage the situation by removing the drive and putting it into a different enclosure or connecting it with a USB to SATA cable (see the linked post for details).
How will you know which is the problem?  You won't until you remove the drive and connect it to a known working USB to SATA enclosure/cable.
Backing up your data
You're using a 4TB external drive with a 128GB internal drive meaning that 4TB drive is your &quot;main drive&quot; for at least your Lightroom work.
You need to back this drive up
How?  Get a second drive of equal or greater capacity.  Then there are two ways to backup your files:

Use normal backup techniques like Time Machine or even the included WD Utilities.

Use Lightroom's built in functionality


Lightroom allows you to instantly make a backup copy of your file during import:

All you have to do now is backup your catalog.  If one drive fails, you simply apply the catalog to the backup files and all your changes will be saved.