French regional paper Le Dauphiné Libéré reports that the four alpinists were killed near the village of Crévoux, in the Hautes-Alpes department of south-east France.
According to paper, the guide accompanying the four victims raised the alarm around 3:30pm. He was reportedly injured by the avalanche which occurred at an altitude of 2,604 metres.
They had been climbing in the Goulotte des Enfers, an icy chute at a height of about 2,600 metres (8,530 feet). French media reportedthe climbers were all French from the western region of Brittany.
A helicopter and a medical team were sent to the scene.
President of the General Council of the Hautes Alpes, Jean Yves Dusserre said the accident was a "terrible tragedy".
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“My thoughts go out to the families of the victims, to whom I extend my support and sympathy at this painful time.
"Once again the mountains have proved to be unpredictable and brutal, right in the middle of our winter holidays. This incident reminds that our mountains can be beautiful but also cruel."