I think this is simply not supported right now, so marking as a Feature Request

By reading the code I'd expect that A is some function    
returning an object. returnStr() being a method of that    
object returning a class name used for new. (Somehow a    
combination of "new $a;" and a simple   
"function_call()->methodCallOnReturnedObject()" which is   
possible since PHP 5) I would like some syntax like this,   
too - but thinking about it I see too much confusion and   
didn't find a nice solution which is clear when reading   
code.   
   
I set this to bogus since I think it's too much confusion,  
but if you have a nice and clear syntax feel free to  
re-open it - I'd be happy, but don't see how this is  
possible without logic conflicts :-)  

@Johannes:
I don't really get your interpretion of the problem. A() is of course the constructor (A() in A). The constructor returns an object of type A. returnStr() is a method of A, so when calling returnStr() on a new A(), it should invoke returnStr() on a new object of A. For example, in Java it's fine to do this:
System.out.println(new Object().toString());
Which makes sense because when you _can_ do method chaining (which you can in PHP5), there are many times where you just want to call one chain on a new object, instead of seperately instantiating the class.
So I have to go with Derick pointing out it's simply not supported right now.

Here's the ugly trick how to do object instantiation and chaining in one line:

	$view->loginForm = end($_ = array(
		$l = new Login(),
		$l->render()->chain()->everything()->you()->like()
	));

$_ and $l are two unnecessary variables. I told you - it's ugly.

Anybody can make it better?
Any ETA for implementing it in PHP directly?
Hello visitor. Please vote.

You're complicating things too much.

You can solve this by simply making 'new' bind stronger than '->'.

And even if it doesn't, this should still work:
(new A('foo'))->someMethod();

Here's a workaround: use a static factory method:
class A {
  public static function create($str) {
    return new A($str);
  }
  ...
}
echo A::create("hello")->returnStr();

Closing as PHP 5.4 supports with with the (new A)->b() syntax.