This unit does support turntables, but only moving magnet. If you have a coil, you'll need to add a step-up transformer.

Taken from the Denon X4000 owner's manual:

This unit is compatible with turntables equipped with a moving magnet (MM) phono cartridge. When you connect to a turntable with a low output moving coil (MC) cartridge, use a commercially available MC head amp or a step-up transformer.
If you set this unit’s input source to “PHONO” and you accidentally increase the volume without having a turntable connected, you may hear a hum noise from the speakers.

As for connecting it, what you have done is correct. To repeat, just connect it to the PHONO inputs on the back, and choose it as the source from your remote.

If you have a moving magnet turntable, (most are) and are NOT hearing the turntable but ARE hearing all other sources, you may sadly have a defective unit.

I would either call where you bought it or Denon directly for further advice and next steps.

My fingers are crossed though that it's just a simple mistake or something missed; as is often the case in my own experience.

Kind Regards,

Ron

Did you assign the phono input as an analog input? That sounds like you might have had it bypass the phono stage. Also, is it no sound or very weak sound coming out of the speakers?