This is a headcanon that I came up with after reading a fic that was abandoned. In it, Sly kept sleeping on top of the police station, and Carmelita would chase him away. I asked myself, what if that went a little differently? This piece is one of my favorite little headcanons, I hope you enjoy.
Disclaimer: Alas, I don't own Sly Cooper, Sanzaru and Sucker Punch do.
Sly couldn't sleep. Every time he closed his eyes he saw Clockwerk staring back at him. Clockwerk killing his friends, Clockwerk killing Carmelita, it even brought back the memories of when his parents had died. They all had nightmares after Clockwerk, but Sly's were the worst.
He woke up after every nightmare and checked the house, checked on his friends, made sure they were safe. He didn't sleep after that. He stayed up for the rest of the night, usually in the kitchen, staring out the window where the lights of Paris sparkled in the night. When either Bentley or Murray had a nightmare as well, they'd join Sly, drink something warm, and then go back to bed.
They worried about Sly, but he refused to talk about it, and in his stubborn way, insisted he was fine. Still, Sly obviously wasn't doing very well and there didn't seem to be anything they could do about it.
By the end of the first month, checking that his gang was safe wasn't enough. He needed to see Carmelita. He started leaving in the middle of the night and going out to find Carmelita. He could only relax when he saw her, safe and well, at home or at her office. He would settle where he could see her, and often found himself dozing, dreamlessly, wherever he was watching her from. He did this so often that though Bentley and Murray still worried, they became used to waking to find Sly had disappeared, and would appear again sometime throughout the day. After a particularly bad nightmare, Sly snuck into Carmelita's office through the window. Sneaking in was as easy as it was the first time, and Sly was able to do it even in his extremely sleep deprived state. He wasn't supposed to actually go into her office at all, but he wanted to see her... to imprint on his memory the solidity of her liveliness. Once in her office, he curled in her office chair, breathing in her scent. The seat was still warm, and Sly ended up falling asleep right there in her chair.
A little while after Carmelita trudged in. She hadn't been able to sleep the night before because she was having nightmares of the Clockwerk incident, and now she was being forced to work overtime. She was exhausted that day, which was a stroke of luck for Sly, because it meant that Carmelita's ability to process had been greatly compromised. Even though she clearly saw that Sly Cooper was in her chair, the only thing that registered in her mind was that there was something in her chair. She moved that something under her desk, and when that something curled around her legs, she found herself feeling both comfortable and cheered, and so she didn't think much of it. She got to work and actually found herself more focused then she had been before.
She didn't notice Sly until she went to go get herself a snack from the vending machine in the hall- both to get moving and because she was hungry- and when she got back, something kick started in her mind when she bumped into something under her desk and looked down. At Sly.
It finally clicked in her mind that Sly Cooper had been sleeping in her office since before she'd gotten there. She was about to do what she should have done hours ago and have him wake up in one of the holding cells when she noticed he'd started shivering. He moaned, and it was such a painful sound that it made her hesitate. Then he gave out a low cry of "No! Leave her alone! Carmelita!" and she found herself lost. She put her hand on his head and hesitantly started to try and calm him down.
"It's okay Ringtail, I'm fine, I'm right here." She watched in fascination as he seemed to become more settled in sleep. He did not wake up. She simply didn't have the heart to arrest him, looking at him like this. He was so vulnerable, his face showed strain and she could tell he'd been sleeping less than she had. She settled back into her office chair, deciding she really did need more sleep if she was acting this soft. Sly slept well into the next day lying at Carmelita's feet, his nightmares held at bay by the comfort of touch. She let him be.
Sly woke up shocked to find himself at Carmelita's feet in her office. Hesitantly he pulled himself out from under her desk, staring at her the whole time. She pretended she didn't see him. He went to the window of her office, then looked back at her. She still didn't look at him, though a small smile did make its way onto her face. Sly left, and she shook her head, still smiling, wishing she didn't feel slightly cold now.
After that, Sly would sneak into Carmelita's office whenever she was there and he had a nightmare. Other times, she'd find him on the chair in her bedroom. Regardless of where she found him, she would ignore him unless she was about to leave. Then, she would wake him up, sending him on his way. They never talked about it, and whenever she was chasing after him she did so with the same gusto. They never gave any hint to those moments, though they continued to happen throughout the years. No matter how angry Carmelita was at him, he was always welcome to sleep near her when he was having trouble doing so.