Clunk going from 4wd to 2wd

Since about a week, I'm back in a Jimny!
After having a SJ413 in the mid 90ies and a Jimny 2wd in the early 2000's
( I'll do a proper introduction a.s.a.p. )

Anyways... Just bought a 2005 Jimny

As the title says, there a big clunk coming from the (I guess) transfer box when going back from 4wd to 2wd
No issues going into 4H or 4L, can hear the hubs clicking (I have the dash-buttons for drive selection)
It only "hesitates" to go back from 4wd into 2wd
And once 2wd is engaged, there's the big clunk once I start driving again

I have tried searching the forum and website, but couldn't quite figure it out
Any idea's or suggestions what this could cause this?
Thanks!!!

Just to be clear this is off road on a lower grip surface, not tarmac or concrete?

not off road / slippery surface, just in the parking lot, changing drive modes while standing still

As long as you are stationary then it may have a tiny clunk but it shouldn't be much. If however you are manoeuvring that will cause tension in the system which will release as a loud bang. This is not advised.

Sounds about correct if you are moving the vehicle on a good surface. Wet tarmac is too much, we are talking snow, mud, gravel, wet grass levels of grip!  
What Lambert said is 100% spot on, so avoid if you can.

If you want to make sure engage 4WD stationary and listen to the clunks and clicks as it engages. Then disengage, but don't move the vehicle, it should sound much the same. As said, the action of moving the vehicle starts to wind up the transmission components as front and rear wheels are locked together. When you disengage this twisting energy is released with a sudden "bang", assuming it can release.

Thanks for the replies so far
I'll try on some slippery surface and see what happens...

I think it is important to know why you are changing drive modes whilst stationary?

Roger