I have a Schengen visa which is expiring on February 29th. I have plans to travel to Sweden on the 25th of February.
Is it OK to travel just 4 days before the visa expires, or will there be any issues?
Not a problem as long as you got return ticket before 29/02 24:00.
Just check if your visa has "Last date to enter", if there is no such condition, then you can enter until the visa expiry date.