"Despite any rumours, Shenmue III is not at any stage of development, and is not in Sega's plans. "This is hardly an official statement, but I can tell you that despite rumours to the contrary, there is nothing in the works for Shenmue III. However, SEGA is aware of Shenmue's position and the special place it holds for fans, and we would never discount the possibility of doing another one.
There is no Shenmue 3 in the works because Suzuki-san is too busy on Shenmue online and will be for another couple of years at least. There is every possibility that he would want to do a Shenmue 3, but the general feeling is that it won't happen in the next 3-5 years; or until SEGA reaches it's current business goals - That is to become a top 3 publisher.
I'd tell our fans not to give up hope- but not to hold their breath either"