Preheat a grill to high. Cut four 8-by-12-inch sheets of heavy-duty foil. Place each salmon fillet skin side down on a sheet; top each with 2 tablespoons ranch dressing, 1 tablespoon bacon and 1 tablespoon feta; season with pepper.
Fold up the sides of the foil, leaving the top exposed. Place on the grill, cover and cook until almost opaque in the thickest part, 8 to 10 minutes.