Demme shot the concert movie in January this year at MGM Grand Arena, Las Vegas, reported Entertainment Weekly.
The movie has not got a title yet.
"It's very emotional, very exciting. It's a space age music film!" Demme said.
Describing the film, he said, "There's tremendous dancing in this piece. He's got an extraordinary band called the Tennessee Kids. Huge horn section, two lead guitars, two drummers, eight dancers, four exquisite background singers. And we caught them on their last performance."
He closed the tour with the performance in Las Vegas' MGM Grand Garden Arena, singing nearly 30 songs in a 3-hour show.
Demme, best known for his work in "The Silence of the Lambs", is no stranger to capturing live performance. He directed concert documentaries for Neil Young, Kenny Chesney and a music video for Bruce Springsteen.
He recently directed "Ricki and the Flash" which stars Meryl Streep as aging rocker.
