One of those potential villains would be Neyla. Because--why not bring her back? She's easily one of the best villains (if not the best) of the franchise, and even though she was more than likely blown to pieces along with Clock-la, we still didn't see her corpse, and the canon has been shown to bend the rules of reality a little to allow for the story to continue (such as when Clockwerk's body should have, by all means, have melted away in Sly 1, but there was enough leeway in there to bring it back in Sly 2). She'd be a surprising comeback for both that reason and because we hadn't seen or heard of her for a whole game now, thus not leading us to immediately suspect her presence. You could even work the time-traveling plot from a different angle with her, possibly, trying to take Clockwerk's place in wiping out Cooper's ancestors or retrieving his parts--there'd be a lot of different ways to go about it. And this isn't even bringing up the re-tooling of Penelope's story with Neyla having brainwashed her (through Clockwerk's eyes or something else), allowing it to both bring the initial shock of Penelope being the "villain" while also explaining why the sudden, inexplicable turning against Sly.
The other potential villain would be Bentley.
Now, I love Bentley to pieces, but, of all the members in the Sly gang, including the ones in 3 (which include two former villains), Bentley has the most potential of becoming a villain. I remember throughout playing 2 and 3, I was shocked at how brutal Bentley could get; this was the guy you underestimated because he was the smallest and least combat-oriented of Sly's gang, and a shameless nerd on top of it, thus you automatically associated him in your head as being kind of a wimp, or at least the more sensitive of the three main members (his nervous approach to his first mission, as well as his panicked state of being in 2 when all the gang except for him got captured, only backs this assumption up).
In truth, he's anything but that. He has the sneakiest means of attacking out of all the gang members (putting an enemy to sleep and then planting an explosive on them). He's willing to do anything to reach their gang's goal--frame people, wage wars, feed live enemies to crocodiles, and it isn't just the kind of thing you can brush off with video game logic, either. Both Sly and Murray on separate occasions comment on how surprised they art at how devious Bentley's plans (or Bentley himself) are, and are reluctant to even partake in them until Bentley gives them a push, reminding them of their mission.
With all that in mind, it's easy to see how he could possibly take it too far, inadvertently leading him on the path to becoming a villain.
...that said, I'm not entirely sure the Bentley-as-a-villain would work out any better either, seeing as the last game had him confronting Dr. M and asserting he would never become like him, no matter how similar their positions were, and making him a villain would just undo that important arc of Bentley's. And I really wouldn't want to do what Sanzaru Games is doing by derailing characters and undoing their arcs in favor of the their plots and twists’.