Cate Blanchett, Alec Baldwin, Bradley Cooper and Sally Hawkins are already attached to star in the film, about which no further details are known.
Deadline reported the new casting from Cannes today.
Cannavale has joined the cast of Boardwalk Empire as a series regular for its third season.
Allen's next film To Rome With Love, which he has described as "a tribute to Italy", will open the Los Angeles Film Festival next month.
Watch a trailer for Allen's last film Midnight in Paris below: