A coated article includes a heat treatable (e.g., temperable) antireflection (AR) coating having four layers. The AR coating includes a layer adjacent the glass substrate having an index of refraction substantially matching that of the glass substrate, and having a compressive residual stress. In certain example embodiments, the coating may include the following layers from the glass substrate outwardly: stress-reducing layer/medium index layer/high index layer/low index layer. In certain example embodiments, depending on the chemical and optical properties of the high index layer and the substrate, the stress-reducing layer of the AR coating is selected to cause a net compressive residual stress and thus improve the overall performance of the antireflection coating when the coated article is heat treated.