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Chris Pizzello, Associated Press
Sean Penn, a cast member in the film "This Must Be The Place," poses at the premiere of the film at the Sundance Film Festival in Park City, Utah, Saturday, Jan. 21, 2012.

PARK CITY, Utah — Sean Penn's new movie casts him as a former rock star who turns his back on stardom and goes into exile overseas.

Penn can relate. He says he's thought often enough about ducking out of the limelight.

"This Must Be the Place" had its U.S. premiere at the Sundance Film Festival, where Penn first came 27 years ago with "The Falcon and the Snowman."

Directed by Paolo Sorrentino, "This Must Be the Place" stars Penn as Cheyenne, a raven-maned, mascara-caked former pop icon whose look was inspired by Robert Smith of the Cure.

After his father's death, lost soul Cheyenne embarks on a road trip to track down a former Nazi who brutalized his dad in a concentration camp.

The film opens in the U.S. in March.