The known BPS dyon black hole solutions of the N=4 heterotic string in
four dimensions with a nonzero angular momentum all have naked singul
arities, We show that it is possible to modify a certain class of thes
e solutions by the addition of massive Kaluza-Klein fields in such a w
ay that the solutions decompactify near the core to five-dimensional b
lack hole solutions with regular event horizons. We argue that the deg
eneracy of the four-dimensional BPS dyon states is given, for large ch
arges, by the five-dimensional geometric entropy.