How to make AI follow the closest character in a multiplayer?

EQS is made for this sort of thing, check out this documentation and see if it makes sense to you. With EQS you can easily do other tests like visibility to see if the AI can actually see their target, it then gives a score depending on the best result fitting your criteria.

More information here - https://docs.unrealengine.com/latest/INT/Engine/AI/EnvironmentQuerySystem/