After the events of Sly 3: Honor Among Thieves, Sly is faking amnesia and is spending all his time with Carmelita Fox. Meanwhile, Murray is on the van stock racing circuit, and Bentley is spending his time with Penelope developing a time machine. Suddenly, Penelope disappears and the pages from the Thievius Raccoonus are being erased.
Bentley gets all of the gang back together and goes through time to start investigating the mysterious events.
