Horseshoe Mode was a planned gameplay feature for Sly Cooper: Thieves in Time that ended up not being included. Mat Kraemer, the lead designer of Thieves in Time, mentioned it on the Second Funniest Podcast.
Horseshoe Mode could only be unlocked by completing the game. In this mode, players would be able to replay the story, but the Thief Meter would be disabled and the character would die after one hit, unless a Lucky Charm (or horseshoe) is collected to protect the player. This was a reference to Sly Cooper and the Thievius Raccoonus.
Horseshoe Mode was cut from Thieves in Time because the developers ran out of time before the deadline hit.