Set after the events of Sly 3: Honor Among Thieves, Thieves in Time continues the adventures of the Cooper Gang. Bentley, the current keeper of the Thievius Raccoonus, notices that the pages of the book are disappearing. He must get the gang back together in order to travel through time and stop whoever is threatening the existence of the Cooper legacy.


Sly Cooper was enjoying his relationship with Inspector Carmelita Fox, a relationship they were able to begin by Sly feigning amnesia, when Bentley showed up. Bentley explained to Sly that the pages of the Thievius Raccoonus were disappearing and that Penelope had also suddenly vanished at the same time. Bentley was looking to reform the Cooper Gang so that they could stop whomever was altering history.


Sly soon met up with Bentley and Murray at their old hideout, where Bentley introduced both of them to the Time Machine. With this device integrated into the Cooper Van, the gang would be able to travel back in time and fix the past.


Their first stop was Feudal Japan, but because the Time Machine required an item from that era, they would need to pull a heist to get the item in question. Their target was a nearby museum owned by a seemingly respectable art mogul, a museum that Sly had been keeping tabs on already.