The filmmaker has already made flicks in New York, London, Barcelona and Paris and will now be shooting in Italy.
He said: 'I love these sophisticated and civilised metropolises. Each time it's been like writing a love letter to these places and projecting my feelings for them on the screen. I hope to be able to do the same with Rome.'
According to Variety, Allen is set to travel to Rome on March 26 when he will be playing with his New Orleans jazz band at Rome's Auditorium Conciliazione theatre.
The movie is currently untitled and is only in its script stage at the moment but it will be set in the Italian capital.