Relieved exclamation not many heard (4)
I believe the answer is:
phew
'relieved exclamation' is the definition.
'not many heard' is the wordplay.
'not many' becomes 'few' ('few' is the opposite to 'many').
'heard' shows a homophone (sound like).
'few' sounds like 'PHEW'.
(Other definitions for phew that I've seen before include "Expression of relief" , "thank goodness!" , "Exclamation of relief" , "Gosh, that's a relief!" , "I'm overheating?" .)