As a Columbia University graduate and resident of New York's West Village, she was personally struck by the Sept. 11, 2001, terrorist attacks.
"That's my city," she told USA Today.
The talked-about film by Oliver Stone, who has produced other controversial films, including "JFK" and "Natural Born Killers," is not what people expect, Gyllenhaal said.
"Everyone is so scared of what take he'll have on the subject, and it's so interesting to me that it's the most gentle and genuine take I've seen," the actress said.
At the 2005 Tribeca Film Festival, she spoke out, blaming America "in some way" for the Sept. 11 attacks, but she's staying apolitical now.
"This movie was really made out of honesty, out of a desire to honor people who did an incredibly brave thing," Gyllenhaal said.
Gyllenhaal said she's "blissed out" by pregnancy, which she calls a "real intense experience." She and Sarsgaard have no immediate plan to marry.