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No, for a few reasons.

1. Microsoft doesn't have the strongest first party right now. Sony had a larger more active 1st party arm, and they mostly failed to keep the PSP filled with 1st party games. It seemed a lot of the times that it was only their Japanese studios releasing games for it

2. Unlike home consoles, japan is the strongest market, where MS is the weakest. Releasing a handheld without having a firm foothold in that marketplace would be suicide really :3

3. There are already way too many options out there now. We have the Vita, 3DS, ios, and Android. The price to get into the marketplace to compete against these popular brands(+vita =p) is too high. It would be better just for Microsoft just to focus on their phones