We here at Eurogamer have heard the same thing from multiple sources over the last six months, but it's worth noting that The Last Guardian has been rumoured to turn up at each E3 since Eurogamer broke the news in 2011 that creator and Team Ico figurehead Fumito Ueda had left Sony to work on the game in a freelance capacity - and each E3 it failed to materialise.
Meanwhile, there are rumblings that Mark Cerny, lead architect of the PS4 and director of PS4 launch title Knack, had joined The Last Guardian development to help push the game out the door.
Again, we've heard this rumour a few times from various sources over the past six months, and it makes a lot of sense: Knack was developed by Sony Computer Entertainment's Japan Studio: Team Ico, famed developer of PlayStation 2 games Ico and Shadow of the Colossus, is a part of Japan Studio.