Create a cylinder with lots of horizontal Loop Cuts
using Ctrl+R and duplicate the cylinder 4 times. Give each cylinder their own material color and position as shown below. Select all cylinders and join them with Ctrl+J. Set the Origin at the center of the geometry and then apply a Simple Deform
modifier with an angle 360° and select Axis the cylinder is pointing to, which is Z-axis in this case. Add Array Modifier
to repeat the pattern.
Optionally you could give it this squarish look at the center by temporarily disabling the Simple Deform modifier and selecting the Edge Loops near the center for each cylinder then using Proportional Editing to scale the vertices toward the center.