They behave quite different from cows and pigs, escaping from player even if not attacked. Loot can be an old sheepskin or Raw Meat. Some inkeepers sell mutton stew and mutton leg, but this kind of meat cannot be obtained from sheep, just bought.
A small group of immortal sheeps can be found next to a guarded treasure (Cyclops, 19 lvl) in Novigrad/Velen. Kept inside a fenced area they're imposible to kill or interact with.