Let $M(t)$ be a path through the involutory matrices such that $M(0) = \text{diag}(1,-1,-1,1)$ and $M(1)$ is the identity matrix.
Let $p_t(x) = \det(xI - M(t))$, written as
$$
p_t(x) = x^4 + a_3(t)x^3 + a_2(t)x^2 + a_1(t)x + a_0(t)
$$
Clearly, $p_0(x) = (x-1)^2(x+1)^2 = x^4 - 2x^2 + 1$, while $p_1(t) = (x-1)^4$. Note that $a_3(0) \neq a_3(1)$.
Now, note that there are finitely many possibilities for the characteristic polynomial of an involutory matrix. However, $a_3(t)$ depends continuously on $t$. So, $a_3(t)$ is a non-constant continuous function on $[0,1]$ that attains finitely many values. This is a contradiction.
Thus, no such path exists.
In fact, the path components are precisely the sets of matrices with identical characteristic polynomials. So, there will be $5$ path components in this space.