The Lollipop update is now rolling out for the Samsung Galaxy Note 4 on AT&T.
The update has only just begun rolling out to devices, and it may take a few days to be seen on all devices. If you don't want to wait for the update notification you can manually check for updates. To check for an update head into the device settings then tap on system updates, and then check for updates to see if it's available for you.
Newer model: Galaxy Note 5