Mega Man X4 uses XA audio, so no PSF is going to exist. XA audio is kind of like a compressed recording, not actual music data like midi. I know PSX games don't actually use midi, but that was the best I could compare it to. There are XA rippers on the site if you want to get MP3s.
Perhaps the Sega Saturn version will have a rippable set someday. Though I've not heard of any work on such a format.