On my 99 GMC Yukon, the push button 4X4 will not

On my 99 GMC Yukon, the push button 4X4 will not go into 4LO. A clicking sound comes from the dash, like a relay. 2HI and 4HI both work. I tried doing it in N, P, D, nothing works. When you push the 4LO button, the light just flashes and then it lights up whatever you had it in. Is there a relay or solinoid that could be bad, or would it be in the transfer case. If it is one of those, were are they located. Thanks, Mark