Law: I'm proud of Sherlock Holmes
"I think Warners want it, and there's a lot of want from us as a team. We want it to be better than the other two. We want to make sure it's smarter and cleverer, but in the same realm," he told Empire.
Jude, who has already had a few meetings with film bosses, can't wait to get started.
"I hate celebrating anything I've done, but I'm so proud of those films. I think it was Joel Silver who said, 'Take it out of that dusty room and put it on the street'," he added.
The British actor, who next stars in crime drama Dom Hemingway and Wes Anderson's The Grand Budapest Hotel, admitted that the process to the third film hasn't been easy, especially with his co-stars' schedules.
"It's a slow process. We're all busy. So getting us together to try to nail that has taken a little bit longer than we had hoped," he said.
The first film was released in 2009, with the sequel out in 2011.