It looks like your sketches are on different planes. All parts of a sketch must be in the same plane to be a closed region. You could use the include command (project to sketch) to project one of your sketch lines over into one of the other planes that you've drawn on to or just draw the lines in yourself.
A couple of checks:
1. Have you zoomed close enough to be able to click inside the space enclosed by the four lines.
This will help in picking a region to create.
2. Right click the sketch in the Pathfinder and Enable Regions:
Beyond this you may be required to attach the part for closer examination.