It should work as long as you have the appropriate Update Rollup installed (I can't remember what number this is off the top of my head).
However, the only point of using the CRM 4.0 client against 2011 server is to allow a temporary situation after an upgrade while you get round to upgrading all the clients. This should never be a long-term plan.
Hope this helps.
Adam Vero, Microsoft Certified Trainer | Microsoft Community Contributor 2011
Blog: Getting IT Right