They havent made Shenmue 3 because they havent got the budget for it. Sega dropped down the games industry list over the years and were overtaken by most companies. Their stocks dropped and they lost a lot of game series they had the rights too. They just dont have the funds, Shenmue series was HUGELY expensive and in the grand scheme of things didnt sell well as the Dreamcast died. As good as the games and console were they were driven out of the market by Sony and its PS2. Cost Sega nearly £50 million to develop and back then that was unprecedented. Only hope for the series is either releasing the originals as
remakes on Xbox Live Arcade and PSN or by way of a
Kickstarter project and it being fan funded.
Ive been waiting for Shenmue II sequel for over 11 years and really want them to make it but dont know if it will ever happen.