There isn't a "Final" Final Fantasy. Square Enix keeps going, churning those FF games out — endlessly! The first Final Fantasy was apparently named so because of Square Soft's financial troubles. The game was a smash hit, and Square Soft (and later, Square Enix) continued to make Final Fantasy games with no end in sight. What gives? Square Enix producer Shinji Hashimoto says:

The term 'Final' in the title doesn't mean 'last,' but the teams behind it see it as a term for 'ultimate,' and as long as there are creators that are wanting to make Final Fantasy games, we will probably keep going... Well, when it comes down to it, it's up to the fans' needs, and we don't feel that there's actually a certain number that we should stop at... But each Final Fantasy series has a lot of unique characters, and a world, and we receive lots of feedback from fans, saying, 'We want to see more of this character!' or, 'We want to see more of this situation!' So, we take those into account, and try to create new side stories based on that. So we're not necessarily conscious of a certain limit that we have to stop at.

Yep, they're not gonna stop Final Fantasy any time soon. Interview: Kitase And Hashimoto On A 'Final' Final Fantasy [Gamasutra via Gay Gamer]