Variety.com said Lee is hoping to have the NBA-financed film completed in time to bring it to next year's edition of the prestigious film festival.
"Mike wants to come to Cannes, so hopefully we will be here next year," Lee said.
Lee's 40 Acres & a Mule Filmworks production company is producing the documentary, which is expected to include extensive unseen footage shot by NBA cameras during the final two years in Jordan's career.
Lee and Jordan previously worked together on a series of Nike television commercials, the trade paper said.
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