It is a huge challenge to give an existence theorem for heteroclinic cycles in the high-dimensional discontinuous piecewise systems (DPSs). This paper first provides a new class of four-dimensional (4D) two-zone discontinuous piecewise affine systems (DPASs), and then gives a useful criterion to ensure the existence of heteroclinic cycles in the systems by rigorous mathematical analysis. To illustrate the feasibility and efficiency of the theory, two numerical examples, exhibiting chaotic behaviors in a small neighborhood of heteroclinic cycles, are discussed.