A while back a large community effort was established to petition Lego for the development of a Legend of Zelda themed set. While the movement garnered more than 10,000 supporters, Lego has decided not move forward with the creation of this set.
A statement has been released by Lego in regards to the matter. You can read it below.
First and foremost, congratulations again to MINGLES for reaching 10,000 supporters on LEGO CUUSOO, and toward everyone for all of the support of the Legend of Zelda project! The Summer LEGO Review has concluded and the LEGO Review Board has arrived at its decision about the four projects in review.
The Legend of Zelda project shows broad support among gaming enthusiasts. This project has provided great inspiration and concept work for what could be a very nice product.
However, multiple new element molds would be required to create the minifigures for such a product, and the expense of these molds means that the Legend of Zelda project unfortunately does not pass the LEGO Review on the basis of the business case.
MINGLES has been a pleasure to work with throughout this process and has shown a lot of passion and enthusiasm for his idea and LEGO bricks. We also recognize the intense interest of all of you who supported this project, and we are sorry to deliver this disappointing news.