Just before Killzone launched on PlayStation 2 we spoke candidly with some of the developers at Guerilla. They told us that work on Killzone 2 was already underway and that it would not be a PlayStation 3 title. They would not, however, confirm Killzone 2 for either PS2 or PSP release.
That bit of information seemed to be contradicted by the 2005 Sony E3 press conference, which depicted a now controversial video of Killzone PS3. One thing to note from the video was that it was not ever referred to as Killzone 2.
Just recently, Jeux-France updated with artwork from 'Killzone 3' (the art in question is at least labeled as such). This artwork depicts scenes specifically highlighted during the Killzone PS3 video demonstration.
Given the available information, we expect that the still unofficial Killzone 2 is in development for either PSP or PS2 and that Killzone for PS3 will in fact be Killzone 3, or at least the third in the series."