The Indian Coast Guard Offshore Patrol Vessel `Sajag` was commissioned in May 2021. It was constructed by M/s Goa Shipyard Limited.

Option 1: M/s Bharati Shipyard Limited - This is not the correct answer. Bharati Shipyard Limited did not construct the `Sajag`.

Option 2: M/s Cochin Shipyard Limited - This is not the correct answer. Cochin Shipyard Limited did not construct the `Sajag`.

Option 3: M/s Hindustan Shipyard Limited - This is not the correct answer. Hindustan Shipyard Limited did not construct the `Sajag`.

Option 4: M/s Goa Shipyard Limited - This is the correct answer. The `Sajag` was constructed by M/s Goa Shipyard Limited.

In conclusion, the correct answer is option 4.