Microsoft making a handheld will result in a Steve Balmer suicide note.
The problem is that betweeen the 3DS and the Vita, there's not much room for another handheld in the market, and Microsoft would have no titles to push it with. Microsoft would basically be making a gaming smartphone: it wouldn't have that many games, but it's smartphone functionality would be it's selling point.
First, smart phones have at most a two year market life--usually less--while developers and gamers expect five to seven from a console. Second, Sony already did that with the Xperia Play. It bombed even worse than the Vita.