.Net frameworks are backward compatible, so .Net framework 2.0 library should work fine on .Net framework 4.0. I am not sure why your library users are asking for .Net framework 4.0 library, because it doesn't make any difference to them.
However if you want to recompile your .Net 2.0 library to 4.0 then normally there shouldn't be any issues but you should see: Visual C# 2010 Breaking Changes