According to a forum post over at GameFaqs.com, the latest issue of PSM has an interview with Sucker Punch and they talk about their future plans with Sony.
Look for Sly 4's unleashing at E-3 and a new Sly Cooper Psp game aswell. They're both set for release the same day and will have connectivity to one another.
"The graphics have been majorly overhauled and the gameplay will be more varied and focused this time around. We're aiming for a fully interactive 3-d world, with no loads and seamless interaction between settings and characters."