The 3-D film will open in the United States May 10 and will screen out of competition May 15 at the Grand Theatre Lumiere of the Palais des Festivals in France.
The movie will feature a score by American rapper Jay-Z.
"It is a great honor for all those who have worked on 'The Great Gatsby' to open the Cannes Film Festival. We are thrilled to return to a country, place and festival that has always been so close to our hearts, not only because my first film 'Strictly Ballroom' was screened there 21 years ago, but also because F. Scott Fitzgerald wrote some of the most poignant and beautiful passages of his extraordinary novel just a short distance away at a villa outside Saint-Raphael," Luhrmann said in a statement Tuesday.
The filmmaker previously directed DiCaprio in the hit 1996 movie "William Shakespeare's Romeo & Juliet."