In a recent interview with Paste, Sufjan confirms what some of us were probably starting to think already:
Illinois, which was released in 2005, and recently took the #1 spot on Paste’s Top 50 Albums of the Decade, set up enormous expectations for the next state. Which would it be? But would be follow-ups never materialized, despite myriad rumors. Half a decade later, Stevens looks back on the project almost self-mockingly. “The whole premise was such a joke,” he told Paste, “and I think maybe I took it too seriously. I started to feel like I was becoming a cliché of myself.”
FYI, the second link in the above quote is to a longer article on Sufjan and his BQE project.