As of my knowledge cutoff of September 2021, Sega has not announced any plans to develop a new video game console.
While Sega is still an active player in the video game industry, their focus has shifted towards developing and publishing games for other platforms, such as PC, consoles, and mobile devices. They have also been actively involved in the retro gaming market, releasing classic games and consoles through various channels, such as the Sega Genesis Mini.
That being said, it is always possible that Sega may announce plans to develop a new console in the future. However, at this time, there have been no official announcements or indications that they are actively working on a new console.