One of the major benefits of dSLR's over compacts or bridge cameras is the response time. As Josh mentioned, the 1/4000th of a second is how long the shutter is open for, but the camera might take 1/2 a second to focus, read the light levels to set the exposure before it actually takes the photos.
You might find if you put the camera in manual focus mode and pre-focus on a specific spot the camera reacts quicker (although this probably depends on the camera model I guess).
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