The Brazil director famously made a documentary depicting his struggle in trying to get the Don Quixote-inspired film made, which would have starred Johnny Depp and Vanessa Paradis.
Gilliam told Vulture: "We had almost all of it together last year and then it fizzed out. What's happening with money is there's a number that's the wrong number, and we're at that number - $25 million (£15.4m), that's just the wrong number.
"But it'll work out. We just keep looking at different places to shoot, checking out Argentina, see if that's less money."
Gilliam resumed work on his Quixote production in 2009, seven years after the release of Lost in La Mancha.
Robert Duvall will play the lead character, with Ewan McGregor also joining the cast in an undisclosed role.