It's not exactly Penny Dreadful season 4, but the story will continue thanks to Titan Comics!

Penny Dreadful will return, but this time it will be to the comics page. Titan Comics will unveil a Penny Dreadful comic set six months after the series finale. The series will be written by the show's co-executive producer Chris King with art by Jesús Hervás.
Here's the only story details we have so far, courtesy of Titan:
"Ethan Chandler (Josh Hartnett) finds himself unable to move on. As he searches desperately for meaning in a world without Vanessa, ancient words echo across the centuries, and he is called on once again to take up arms against the creatures crawling out of the night."
“Like all fans of Penny Dreadful, I am so thrilled that we're returning to the incredible world of the show,” said Penny Dreadful comic editor, Lizzie Kaye in a statement. “There are a lot of stories left to tell, and there is no one better to tell them than Chris King. What he's got planned will just take your breath away, and I can't wait for fans to see it all brought to life by artist Jesús Hérvas."
Many fans felt the TV series, which ended after its third season, rushed to a conclusion, so perhaps this will help with that. Then again, the conclusion felt like an appropriate one, but perhaps one that would have been better at the end of a later season rather than that one.
Expect Titan's Penny Dreadful series to arrive in 2017.