It is possible, but some parts of the game will not work correctly. E.g., the crime system only supports up to four criminals per crime (don't know what would happen if there are more). Additionally, in the main campaign some level areas are duplicated every character must complete it alone and they may all do it at the same time. In such cases, only four areas have been made, and I don't know what will happen if there are more than 4 players (especially if you would have more than 4 avatars; 1 avatar with 5 companions is less likely to cause troubles in most cases).