The way I would attempt to solve this would be to get a 12 V zener with a 200 ohm resistor in series with it, I think in the -ve end. So now with a loop current of 4 mA, you get .8V dropped across the resistor and 1V when the loop current is 5 mA. So now return the emitters of a NPN to the -Ve and the base to the zener/load current resistor, via a 10K and fiddle about with the collector load (returned to the +ve end of the zener) until you get a nice big transition , say 2-> 10V. repeat the circuit with another transistor, but its emitter has to be biased to + .2V, so this transistor comes on at 5 mA. Put a potential divider across the current sensing resistor and use a third transistor, to provide the transition at 18mA.
So now you have three signals >4mA, > 5 mA and >18 mA. The >18 mA can drive its LED direct via a current limiting resistor. Now you have to gate the signals to turn off the >4mA which will light its LED, so feed the LED via an emitter follower from the collector load of the >5mA, so when the signal is >4mA, the collector of the >5mA is high so the LED gets its supply, when the signal is >5mA, its collector drops so the voltage feed to the LED goes off, and stay off as the input signal is increased beyond it up to 20 mA.
Frank