Eurogamer confirmed with Studio Director Tim Heaton that work began on the next installment while the studio was finishing Total War: Shogun 2. "Absolutely, we're on the next," said Heaton.
Sega recently announced that Total War: Shogun 2 sold 600,000 copies. Creative Assembly's Mike Simpson said the series has a "long tail" and that the original Shogun sold "more copies in the second three years of its existence than it did in its first three years." Of course, that wasn't at full price. There's no word yet which period of history (or future) the next game will be set in.