At Evo 2009, Capcom community-mans Seth Killian gets cornered about the final undiscovered secret in Mega Man 9 but vows it does indeed exist, and that it is still out there.
"People have found a ton of amazing stuff in the game that I didn't think would have been dug up for a long time," Killian says. But the "final secret" isn't among that. His questioners try to coax more details out of him, but Seth doesn't budge.
Last October, someone on the Capcom-Unity boards speculated that the last secret was a weapon, specifically a throwing weapon. S-Kill put the splat on that.
What the hell could it be? After nearly a year, we probably stand a better chance of, collectively, blindly guessing what it is rather than actually finding it. I say it's a Ghosts N Goblins Easter egg.