Sega has gone on the record stating that Phantasy Star for GBA is just a rumor.
"Sega has not announced any Phantasy Star game for the GBA," a company representative said. "This is only a rumor and we can not comment on rumors."
Still, Sega has not denied the existence or possibility of the PS series coming to the new handheld. After all, it wasn't too long ago that Metroid Advance was just a "rumor" and PSO for GameCube was just a pipe dream... You can count on us to inform you if and when this becomes confirmed.