I don't mean the filming of the show moving to Los Angeles. It is already filmed there. I'm talking about the setting of the show moving from New York City to Los Angeles.

Matthew Weiner hints at such a move, in that secretive way that he does because he hates giving away spoilers. But he does say in this new Rolling Stone interview that the 60s were all about Los Angeles overtaking New York as "the future," and we've already seen a few episodes set there (last season, when Don got involved with Anna). Weiner doesn't say they will move there, but he does say "I always want the audience to be worried that I'm going to pick up and move the show somewhere. Because, you know, I might."