Thirty-five years after Alvy Singer obsessed over the universe’s inevitable expansion in “Annie Hall,” Woody Allen is still grappling with the transience of life in his films. In “To Rome With Love,” which opens June 22, he co-stars as a reluctantly retired American opera director who tries to resurrect his former career by convincing his daughter’s future father-in-law—an Italian mortician who happens to sing well in the shower—that he could be a star.

The movie, the director’s 45th feature film, also marks Mr. Allen’s first appearance in front of the camera since 2006’s “Scoop,” in which he played a magician-turned-amateur-sleuth. “I’m too old now, is the problem. I like to get the girl,” said Mr. Allen, a spry 76, adding that his lack of credibility as a romantic lead “is a sad, terrible pill to swallow.”

In the film, the classic neurotic male role that a younger Mr. Allen would have snapped up for himself is that of Jack (Jesse Eisenberg), an architecture student who falls for Monica (Ellen Page), the charmingly crazy friend of his girlfriend (Greta Gerwig). Ms. Page’s character complains of “Ozymandias melancholia,” a bogus diagnosis inspired by a Shelley poem about an eroding monument. (Mr. Allen invented it for his character in 1980’s “Stardust Memories” but says he suffers from it, too.)

To distract himself from the fact that even great art will eventually fade into the past, Mr. Allen tries to stay focused on the present, making movies—one a year—watching sports, practicing clarinet and spending time with his family. He’s currently preparing to shoot his next movie in New York and San Francisco. In his editing room on New York’s Upper East Side, he spoke about why he’s making so many films in Europe, how he picks his actors and why his characters don’t text. An edited transcript:

How did you decide that you wanted to set your recent films in London, Paris, Rome or wherever?

Well, the Italians call and say, “We want to pay for it.” It’s strictly economics. It started with “Match Point.” I wrote that film, and it was originally going to be about a family in New York, in Long Island and Palm Beach. But it was expensive to do in New York. And they called me from London and said, “Would you like to make a movie here? We’ll pay for it.” And so I said, “Yes.” It was very easy to anglicize it. From then on, other countries call up and invite me to make movies, which is great because they don’t invite me in the United States. What happens in Europe, in South America, in China and Russia—all these countries call me and say, “Would you make a movie here if we financed it?”

“To Rome With Love” is a new romantic comedy written, directed and starring Woody Allen. The film also stars Ellen Page, Alec Baldwin and Penélope Cruz. Watch a clip from the film. Video courtesy of Sony Pictures Classics.

Do you think maybe Americans are loath to finance your films becau