A 4k display... is basically (if you disregarding all the other possible scaling options) a 1080p display that is twice as sharp.
The Thunderbolt Display... is a 2560x1440 display. Everything on it is the same size as on the
5k iMac that renders at 2560x1440 (times 2) by default. Just that everything is way sharper.
Same goes for a 4k display.
They should generally NOT be used at their 'default' resolution of 3840x2160.
They are... as I stated above... the 'new' 1080p displays... that are just a lot sharper.
Like on the 5k iMac and all the rMBPs, however, you can also scale that resolution further... to make interface elements smaller or bigger. The Desktop will then be rendered at double the resolution and scaled back to fit the display. This does introduce a certain amount of fuzziness... is in most cases still usable though due to the high pixel count of the display.
One well documented example of such rendering is the iPhone 6 Plus. It ships with a 1920x1080p display... but internally renders the desktop at 2208x1242 (or 736x414 @ times 3). The internally rendered 2208x1242 are, because they naturally don't fit on the display downsampled to 1080p.
Two things I can recommend though:
Download this free utility: rdm from here
Retina DisplayMenu v0.2 (DropBox)
It is a bit old... but still works wonders... (see screenshot from my 17" MBP)
And... if Sys Prefs for whatever reason don't give you the option... select 1920 x 1080 (HiDPI) as the resolution!