In an interview with PSM (the official PlayStation magazine), developer Sucker Punch revealed that there are two new Sly games in production for the PSP and PlayStation 3. Apparently, the games are to be released simultaneously and will feature connectivity functions to one another.
Sucker Punch also let slip on some of the game's level design. "The graphics have been majorly overhauled and the gameplay will be more varied and focused this time around," Sucker Punch stated. "We're aiming for a fully interactive 3-d world, with no loads and seamless interaction between settings and characters."
Nothing else was mentioned in the interview regarding Sly 4 other than we can expect more information to be revealed at E3. We'll report back then.