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This Must Be the Place, Paolo Sorrentino (15)

The normally straight-laced actor is a hoot as an aimless, ageing rock star who finds redemption pursuing a Nazi war criminal in this strange, warm and humorous take on the road movie

What does a retired rock star do to while away those idle years? The usual: shops at the local mall, plays squash with the missus, hunts fugitive Nazis. In conventional terms, there are two different films in This Must Be the Place – a satirical portrait of a pop peacock in decline, and the sober tale of a quest for justice. It takes a film-maker as brazenly idiosyncratic as Paolo Sorrentino to even think of juxtaposing the Holocaust and the goofy comedy of pop privilege, a conceit that might strike some as an outrage.

Yet the Italian director Sorrentino (The Consequences of Love, The Family Friend) pulls it off not just with panache, but with prodigal brio. This Must Be the Place may be too erratically constructed to be a great film, but it's certainly great cinema – joyously imaginative, a folly to revel in.

There's always been a flavour of freakshow grotesqueness to Sorrentino's films: his political farce Il Divo depicted the former Italian prime minister Giulio Andreotti as a Machiavellian goblin. Sorrentino has created another living cartoon in his new hero: Cheyenne, an American rocker big in the 1980s, now living a glum life of luxury in Ireland. Cheyenne doesn't have a great deal to do, other than trade Tesco shares and give avuncular counsel to a teenage fan (Eve Hewson, daughter of Bono: sublime in-joke casting, though Sorrentino swears it's pure coincidence).

Cheyenne's look – or rather uniform – of pancake and mascara is a dead copy of The Cure's singer Robert Smith, but it's all the odder when you know that under that black, backcombed thatch is, of all people, Sean Penn. I've only seen one film before – Gus van Sant's Milk – that suggested Penn had the faintest sliver of a funny bone, but here he's a hoot. His Cheyenne combines Ozzy Osbourne's doddery gait with a querulous, giggling delivery, perfect for not-quite-there musings, sometimes Zen-like in their lapidary blankness ("Why is Lady Gaga ...?").

At first, the film seems to milk a standard vein of lonely-at-the-top pathos, till we learn that Cheyenne isn't lonely at all: he's happily married to Jane, an eminently cheerful firefighter (Frances McDormand). Penn and McDormand make a priceless odd couple, her Jane winking encouragingly at Cheyenne and thrashing him at squash. She doesn't mind being married to a high-maintenance gloomsmith, and still sweetly compliments him on his prowess at oral sex, after 35 years together.

Then the film changes tack: Cheyenne's father dies, and we realise that this shambling Goth golem is the son of an Orthodox Jew, a Holocaust survivor. Returning to his old home in New York, Cheyenne is forced to take stock of some painful truths. After attending a concert by David Byrne (whose performance of his title song is the most daringly shot music sequence I've seen in ages), Cheyenne laments to the white-haired hipster grandee that he, Cheyenne, was never an artist: "I wrote dreary songs because they were all the rage." (Sensibly, Sorrentino never lets us hear Cheyenne's music: you suspect it would be dreadful, at best like a minor Siouxsie album).

What follows is a bizarre redemption saga: Cheyenne heads off across America in pursuit of a fugitive war criminal. He's joined by a veteran Nazi hunter, played by Judd Hirsch, imparting tweedy, testy gravity. But the Nazi hunt, despite its haunting outcome, doesn't entirely convince as a quest. What Sorrentino is really after, it seems, is simply a freewheeling drift across the US, more particularly, through the mythical prairies of post-modern movie Americana – of Paris, Texas, assorted Coen films, and David Byrne's own Thornton Wilder-esque True Stories.

The film has its share of visual clichés and strained non sequiturs, but also some inspired apparitions: notably a snorting buffalo with whom Cheyenne comes face to face, mane to shaggy mane. Sorrentino and his virtuoso cameraman, Luca Bigazzi, tend to see ordinary things from a heightened comic-strip perspective: for all the more obvious weirdness, what will most stick with me is the exaggerated greenness of Cheyenne's Irish lawn, and a yellow-helmeted McDormand beaming down from a crane.

There are serious themes at work: revenge and redemption, the pains of being different, the problem of being adult when you've made your living from arrested adolescence. But the pay-off is surprisingly conservative: it's about the need to grow up and straighten out. Sorrentino's first English-language script, co-written with Umberto Contarello, is creakily overwrought in places. But the film's irreducible strangeness is triumphant, with an unexpected lightness of touch – unexpected because much of that lightness comes from Penn's delicate mischievousness, which is not something you see every day.

As Sorrentino's work often is, This Must Be the Place is wayward, misshapen, jarring – and visually and imaginatively euphoric. It's the director's unashamed fan letter to his favourite American films, and to David Byrne – a fan letter in scratchy handwriting and in purple ink, but written with inspired enthusiasm. Even Goths will have a good time.

Film choice

Iranian director Jafar Panahi offers a portrait of the artist under house arrest in his home-movie-as-protest This Is Not a Film. There's more life in captivity in Werner Herzog's Into the Abyss, about Death Row prisoners. And, more cheerfully, Aardman takes to the high seas for the gag-laden The Pirates! In an Adventure with Scientists.