How to handle unauthorized requests(status with 401 or 403) with new httpClient in angular 4.3

You should use your interceptor and just handle it like this:

@Injectable()
export class AuthInterceptor implements HttpInterceptor {
    constructor(private router: Router) { }

    private handleAuthError(err: HttpErrorResponse): Observable<any> {
        //handle your auth error or rethrow
        if (err.status === 401 || err.status === 403) {
            //navigate /delete cookies or whatever
            this.router.navigateByUrl(`/login`);
            // if you've caught / handled the error, you don't want to rethrow it unless you also want downstream consumers to have to handle it as well.
            return of(err.message); // or EMPTY may be appropriate here
        }
        return throwError(err);
    }

    intercept(req: HttpRequest<any>, next: HttpHandler): Observable<HttpEvent<any>> {
    // Clone the request to add the new header.
        const authReq = req.clone({headers: req.headers.set(Cookie.tokenKey, Cookie.getToken())});
        // catch the error, make specific functions for catching specific errors and you can chain through them with more catch operators
        return next.handle(authReq).pipe(catchError(x=> this.handleAuthError(x))); //here use an arrow function, otherwise you may get "Cannot read property 'navigate' of undefined" on angular 4.4.2/net core 2/webpack 2.70
    }
}

no need for the http service wrapper.

to use the router you'll need a factory provider like:

 providers: [
     {
         provide: HTTP_INTERCEPTORS,
         useFactory: function(router: Router) {
           return new AuthInterceptor(router);
         },
         multi: true,
         deps: [Router]
      },
      .... other providers ...
  ]

where ever you're providing the interceptor (probably app.module). don't use an arrow function. they aren't supported in factory functions when you try to build for prod.

Working plunk: https://plnkr.co/edit/UxOEqhEHX1tCDVPDy488?p=preview

From the @bryan60 suggestion I made few changes to his solution

In app.module.ts:

providers: [
     {
        provide: HTTP_INTERCEPTORS,
        useFactory: function(injector: Injector) {
            return new AuthInterceptor(injector);
        },
        multi: true,
        deps: [Injector]
    },
      .... other providers ...
]

and in auth-interceptor.service.ts:

import {Injectable, Injector} from '@angular/core';
import {HttpErrorResponse, HttpEvent, HttpHandler, HttpInterceptor, HttpRequest} from '@angular/common/http';
import {Observable} from 'rxjs/Observable';
import {Cookie} from './cookie.service';
import {Router} from '@angular/router';
import {UserService} from './user.service';
import {ToasterService} from '../toaster/toaster.service';
import 'rxjs/add/operator/catch';
import 'rxjs/add/observable/throw';

@Injectable()
export class AuthInterceptor implements HttpInterceptor {
    constructor(private injector: Injector) {}

    private handleError(err: HttpErrorResponse): Observable<any> {
        let errorMsg;
        if (err.error instanceof Error) {
            // A client-side or network error occurred. Handle it accordingly.
            errorMsg = `An error occurred: ${err.error.message}`;
        } else {
            // The backend returned an unsuccessful response code.
            // The response body may contain clues as to what went wrong,
            errorMsg = `Backend returned code ${err.status}, body was: ${err.error}`;
        }
        if (err.status === 404 || err.status === 403) {
            this.injector.get(UserService).purgeAuth();
            this.injector.get(ToasterService).showError(`Unauthorized`, errorMsg);
            this.injector.get(Router).navigateByUrl(`/login`);
        }
        console.error(errorMsg);
        return Observable.throw(errorMsg);
    }

    intercept(req: HttpRequest<any>, next: HttpHandler): Observable<HttpEvent<any>> {
        // Clone the request to add the new header.
        const authReq = req.clone({headers: req.headers.set(Cookie.tokenKey, Cookie.getToken())});
        // Pass on the cloned request instead of the original request.
        return next.handle(authReq).catch(err => this.handleError(err));
    }
}

If you are using AOT in building try:

export function authInterceptorFactory(injector: Injector) {
    return new AuthInterceptor(injector);
}

providers: [
         {
            provide: HTTP_INTERCEPTORS,
            useFactory: authInterceptorFactory,
            multi: true,
            deps: [Injector]
        },
          .... other providers ...
]