Rau met the three foreign ministers while visiting Riga, the Latvian capital, for discussions on regional security and Nato co-operation.
"Due to our geographical location and shared history, our assessment of the international situation is similar," Rau told a press conference held after the meeting.
"We're facing the same challenges and threats, so an attempt to develop a joint response to them is more than natural," Rau said.
Monday's talks focused on the security situation in the region and the four countries' response to military and hybrid operations carried out by Russia and Belarus.
Rau drew attention to the apparent threats posed by Zapad 2021, the large Russian-Belarusian military exercises now underway, and a migration crisis that the four states claim has been orchestrated by Belarus in an attempt to destabilise the EU. (PAP)