Short Version:
You create art assets with external packages. You make your game with UE4.
Long Version:
If you're making a 2D game you're going to want to get Photoshop or GIMP to make sprites.
If you're making a 3D game you're going to need 3D modeling software. If you want simple low poly stuff you want to go with Maya or Blender. If you want to make a modern style game with really detailed organic models you want to get Zbrush so you can sculpt insanely detailed models.
My workflow right now is the following for art assets:
1. Design in photoshop(2d sketching)
2. Sculpt and poly paint master version in Zbrush(several millions of polygons are required to get poly paint good enough to use in a texture)
3. Retopologize with Topogun(create a low poly version by drawing polygons on to the model)
4. UV unwrap in 3DCoat(you need to unrwap your model to apply textures to it)
5. Project texture from polypaint with Zbrush and create normal maps in either Zbrush or Maya(depending on the model one may give a better result than the other)
6. Retouch the textures in Photoshop
For characters only:
7. Bring into Maya for Rigging and weight painting(adding a skeleton and animation rig so that the model can be animated)
8. Animate animations as needed
UE4 itself is where you import all of your art assets, and develop your game. Programming all the systems that make use of the models, music, animation, etc. that you created.
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