I played with a new group of friends recently and they are playing with such a rule where they will draw a new hand if they don't have any card. Basically their strategy is to finish off all the cards in their hand so they can draw a new 4x treasures and 4x doors the next turn. Any idea if this true? Thanks.
No, you do not draw a new hand when yours runs out. Your friends are playing with a house rule. It might be an optional rule in some expansion's handbook, but I'm not aware of such an optional rule.
The only time you draw a new hand is when you start a new character: at the beginning of the game, or after you die.
You are not expected to always have cards in your hand in Munchkin. In fact, it's highly likely that you won't have any cards in your hand a while into the game, and that's fine!
No, you do not draw 4 cards from the Treasure or Door deck when you empty your hand.
The official rules mention '4' seven times, and 'four' twice. All the '4' references are examples (I.e. [general rules list] "4. You must kill a monster to reach Level 10," [phase] "(4) Charity: If you have more than five cards in your hand," "Drooling Slime and an Elf helps you, the monster’s combat strength is increased by 4," etc. ). The two places 'four' are mentioned is in the Setup and Death sections. These are the only rules that allow you to draw four cards from both the Treasure and Door decks.