Not many, they say? That’s a relief (4)
I believe the answer is:
phew
'that's a relief' is the definition.
(phew is an expression of relief)
'not many they say?' is the wordplay.
'not many' becomes 'few' ('few' is the opposite to 'many').
'they say?' shows a homophone (sound like).
'few' sounds like 'PHEW'.
(Other definitions for phew that I've seen before include "Expression of relief" , "Sound relieved" , "thank goodness!" , "Gosh, that's a relief!" , "Good gracious, its hot!" .)