I find it improbable that a 401K plan allows you to have physical gold for the reason that the government would not know if you had sold that asset and didn’t pay a penalty. These tax structured plans call for paper trails and paper transactions and physical gold in your safety box doesn’t allow them their intrusion fun.
Perhaps, but you should dig a little deeper.
When I left my a job several years ago, I rolled everything over to my financial adviser. At first I placed a large part into gold and silver ETF's. After hearing about some end of year accounting tricks; transferring metal in for end of year financial statements and then moving it out just as quick. I decided to move the funds to physical metal. Programs exist that allow pre-tax retirement funds to purchase metal and store it in safety deposit boxes. I can not sell any of it outside the 401k usage rules.