The writer and director, who also worked on Fahrenheit and Omikron: The Nomad Soul with his studio Quantic Dream, will continue to develop interactive narrative but focus on different genres.
"I know one thing for sure, it's that Heavy Rain is the end of my personal trilogy trying to tell the same type of stories with serial killers and stuff, in the thriller genre," he told Eurogamer.
"I'm really happy I've done so because I wanted to have a very codified genre that I can really play with, I know where the boundaries are, it's really well-defined for me and for everybody and at the same time I can try to play and learn within this space."
Although he didn't explicitly reveal the nature of his future projects, Cage would be interested in adapting Shakespeare into an interactive format and further work on motion control.
Of experimenting with multiplayer narrative, he added: "I think it's possible and I think this is the next challenge. And that would be fascinating. It's incredibly challenging.
"When I saw the efforts that were needed just to make a single-player experience work on Heavy Rain, I have an idea of what it's going to take to make a multiplayer one, but that would be very exciting."
Heavy Rain will be released on February 26 for PlayStation 3.