Elemental Zr-Al-Ni-Cu foils of bulk glass forming composition were cold rolled at ambient temperature. The phase transformations during the cold deformation process were monitored with electron and X-ray diffraction and thermal analysis. After 120 deformation cycles a fully amorphous sample was obtained, as indicated by a distinct endothermic glass transition and a large exothermic crystallization reaction. The characteristics of the amorphous phase are compared with a liquid quenched metallic glass and mechanically alloyed elemental powder mixtures of similar composition. The amorphization reaction during cold rolling is similar to mechanical alloying and proceeds by the formation of a fine layered structure of the constituents, a rapid reduction of the layer thickness and of the average grain size to a nanometer scale and dissolution reactions in the hcp Zr lattice. While in the beginning of the cold rolling process the elemental foils were ductile, after several rolling passes the multilayered sample became brittle and, finally, displayed large elastic flexure in the amorphous state. Several thermal treatments of the multilayered and amorphous samples were performed in order to study thermally activated solid-state amorphization reaction as well as phase formation during crystallization.