George De Vries,
Your story reminds me of shooting half a Q-tip halfway through my hollow closet door from a .22 rifle. It was powered by a .22LR cartridge with the bullet pulled and the powder dumped out--just the priming. I had tacked a shoe box full of wadded newspaper(evidently not wadded tight enough) onto the closet door for a target. The half Q-tip penetrated the lid of the box, the wadded paper, the bottom of the box, and the outer plywood layer of the door. From a distance of eight feet, maybe. Like you, I was amazed and distressed.
Take a close look at the target and ammo. 4mm translates to .17 caliber on this side of the pond. Primer propelled only, ~800 fps out the muzzle....over the Chrony.