Speaking on the Five documentary Madonna & Guy: Where Did It All Go Wrong?, Ciccone said: "I envisage her going back to New York because she's a New Yorker, that's where she began and that's where she'll stay.
"In the end she's a New Yorker and London is not New York, the English countryside is beautiful but there's not enough going on for her."
Ciccone, who is currently estranged from his sister, added that Guy Ritchie's faltering film career may have played a part in the marriage's demise.
He said: "[Guy] was generally a miserable guy and he got worse. He became less and less happy as a person. I think because his career isn't where he wants to be. I imagine he blames her on some level.
"I think it had to do with him, her career continues up and it’s not going down where as his career had dropped off and he has made a series of not very good movies."
Madonna & Guy: Where Did It All Go Wrong? airs today at 10pm on Five.