Sorry, just noticed this hasn't been answered for some reason. Simplest solution is to make a scatter plot rather than a line plot:
% Make some fake data
x = linspace(0,1); % x = data(:,1);
y = cos(10*x); % y = data(:,2);
z = sin(15*x); % z = data(:,3);
c = x+y-z; % c = data(:,4);
figure
scatter3(x,y,z,2,c)
colorbar
If, however, you really need lines, you probably need to brute-force it.
figure
cmap = colormap;
% change c into an index into the colormap
% min(c) -> 1, max(c) -> number of colors
c = round(1+(size(cmap,1)-1)*(c - min(c))/(max(c)-min(c)));
% make a blank plot
plot3(x,y,z,'linestyle','none')
% add line segments
for k = 1:(length(x)-1)
line(x(k:k+1),y(k:k+1),z(k:k+1),'color',cmap(c(k),:))
end
colorbar
Here I'm using the default colormap for the figure to define the colors. You can specify colors however you want, as long as you have a way to index into them.
