Two of the victims were Romanian and two were Slovaks, their respective governments said.
Two men and a woman died on Sunday after visiting a section of coastline closed to the public because of the strong swell affecting the Canary Islands archipelago off the coast of northwest Africa, the authorities told the local press.
Rescuers managed to resuscitate a fourth victim who had suffered a heart attack, but the woman died in a hospital in Santa Cruz de Tenerife on Monday, the emergency services said.
Another person was still in hospital, while the authorities were searching for another missing person, a spokesperson for the emergency services said.
Slovakia's foreign ministry said in a statement it "has been informed of the death of two Slovak citizens" in the incident, while Bucharest first confirmed the death of one citizen, and later that of the second.
With waves reaching two to 3.5 metres (around seven to 11 feet) expected around the Atlantic archipelago, the Canary Islands' regional government had issued a warning for rough seas at the weekend.
Many tourists had travelled to the Canaries as Monday is a public holiday in Spain.
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