At the end of the third game Sly was only faking being an amnesiac to get close to Carmelita without her suspecting his criminal allegiance. Perhaps Bentley will have Sly over to show off his time machine and then something goes wrong. Who knows. The game isn't available just yet, but you won't have to wait very long to find out where the story will set off from where it was last.
I know that the game hasn't came out yet. But I'm so curious on how they'll continue it. Years ago, I thought that this would be it for Sly. Now this comes. I hope it still sticks to Sly's style. The graphics in the new one looks different.
Unfortunately there's no spoiler tags (at least that I know of) so here it is. *** DON'T READ PAST HERE IF YOU DON'T WANT SPOILERS ***
IGN and Sanzaru streamed the first couple of hours of the game a few weeks back, and basically what happened is Sly and Carmelita are together and enjoying life, but Sly starts getting the itch for another heist after however long it's been (they didn't clarify that). On Bentley's side of things, he notices that the pages in the Thievius Raccoonus are changing/disappearing, and one day Penelope just vanishes. So Bentley gets the gang back together, and off we go.