The film deals with a middle-aged wealthy rock star who becomes bored in his retirement and takes on the quest of finding his father's tormentor, a Nazi war criminal who is a refugee in the United States.

Lange describes this as a "minor incident" in comparison to the true horrors of Auschwitz, but mentions that he came to admire the man's single-minded determination to dedicate his life to making his own miserable.

Cheyenne forces the old blind man to walk out into the salt flats naked, like a Holocaust victim; skin and bones and numb with fear.

Cheyenne travels home by airplane (something he previously feared), cuts his rock-star hair and stops wearing his goth make-up, jewelry, and outfits.

"[5] Sorrentino was attracted to this juxtaposition as it would add a great risk of failure, which he considers vital for the prospect of a story to be good.

[5] Sorrentino had seen The Cure perform several times in his youth, and when he saw them again in 2008, he was fascinated by the fact that Smith, even off the stage, still wore the same kind of attire as in the past: Here was a fifty-year-old who still completely identified with a look which, by definition, is that of an adolescent.

[9] Filming in New Mexico began in October and took place in Bingham, Alamogordo, Carrizozo, Eagle Nest, Red River and Questa.

The website's consensus reads, "This Must Be the Place may feature too many wayward detours to satisfy some passengers, but Sean Penn's beguiling performance and Paolo Sorrentino's scenic visuals make this a road trip worth following.

[17] Tom Keough of The Seattle Times called This Must Be the Place "an ill-conceived dramedy with a shockingly annoying performance by Sean Penn, [that] can't really figure out what kind of movie it's supposed to be.

"[18] Jay Weissberg of Variety called This Must Be the Place "that rare film directed by a non-American that gets not just the locales but also the cadence of the language absolutely right, with a script full of great lines and images of lingering beauty."

Regarding the acting, Weissberg wrote that "Penn's flawless performance has none of the mannered intensity that can mark his work, transcending the mask-like qualities of eyeliner and lipstick with deadpan, childlike candor.