Sounds like you are doing everything right. Make sure you press and immediately release the button on the back of your opener and then do what you are doing. Has this keypad ever worked with your opener or did you just purchase it? If you just purchased it you probably got the wrong one.

Sometimes, only when you are programming it, you have to push the numbers like you are trying to push them through the back of the keypad. Try pushing the numbers a little harder and hold them in for about a second on all 4 and then the enter button.