I don't think there's any desire for another competing console nor do Sega really have enough behind them to support such a thing. You have to remember a lot has changed since the early 00s and so have the gamers. Those of us who played on Sega consoles on their release will no doubt support them, but there's far more people now who have grown up only knowing Playstation, Xbox and Nintendo. On top of that, you have a robust PC market too which Sega play a big part in.
Interestingly though, if you count every console/PC game Sega have released since 2016 to now, they have actually released more games than both Nintendo and Microsoft when both of them have new hardware out or coming out. Sega actually had more games than Microsoft at E3 this year too. I'll let you draw your own conclusions on that bit of infomation.
It's not a console of course, but Sega seem to be teasing a lot with this "Sega Forever" thing and all clues point to them pushing their back library onto mobile at the moment. We'll have to wait and see how that works exactly, but I'm not so confident with mobile gaming. Anything more than simple flicking controls tend to be a pain I find, so unless Sega plan to introduce a controller and maybe even a TV adapter, I can't see how this will work.
