The Fawlty Towers star previously revealed he is heading to warmer climes in the Caribbean this November.
On Friday, he told Good Morning Britain: “I’m going to buzz off in November because I’m fed up with the corruption in this country.
“This country is in a terrible mess at the moment.”
The 78-year-old, who co-founded comedy troupe Monty Python in the 1960s, also criticised newspapers, saying they “censor news”.
He added: “I can’t get through the British winter anymore.
“Once you get to about 50 you don’t have the energy to drag yourself through another English winter.”
“I’m going to the sun. I’m also going closer to America where most of my work is.”
But Cleese isn’t thinking of living in the US anytime soon.
He said of US President Donald Trump: “I wouldn’t go to America at the moment. The place is stark staring mad.”
Cleese also said he grew bored of filming BBC One sitcom Hold The Sunset because he had the “same dialogue 40 times”.
He stars alongside Gavin and Stacey star Alison Steadman in the comedy, which is about two retired neighbours.
On his latest project, he said: “They are the nicest cast and the nicest crew I think I’ve ever worked with but I get so bored.
“I did the same dialogue 40 times and at a certain point you think, I could be doing something more constructive with my life.”
Cleese said that he has another four weeks left of filming the new series with cast and crew.
The first series of Hold The Sunset was first broadcast on BBC One in February, mostly to negative reviews.
Series two began filming earlier this month.