My girlfriend took finished her Diane 35 pills on Tuesday. Is she still protected from pregnancy after 4 days?

The pill is designed to use it for 21 days then skip 7 days and then start a new pack for another 21 days. As long as that is what she is doing, then she is protected even during the 7 days that skipping the pills are allowed. The hormones have already stopped ovulation for the current cycle and she is not at risk for ovulation again until the next cycle. (when she starts the next 21 pills)

If you mean that she is on her placebo pills or the pill-free days -- yes, she is protected every day, including the days she doesn't take active pills.

If you mean she has stopped the pill and hasn't switched to another method -- presumably you both want a baby.

As long as she is taking the pills correctly, she should be protected.