IGN have confirmed with Square Enix representatives that Highlander: The Game is indeed cancelled. The game was announced back in 2005 by publisher Eidos, but we haven't really heard much since then and new Eidos owner Square Enix haven't really said anything about the game.
The game was originally in development at Widescreen Games, a French studio closed down in 2009 after the cancellation of another game - the console port of The Witcher. It's probably safe to assume Highlander was cancelled even before that. Oh well, it's a real slow news day I guess...