Talking to The Hollywood Reporter, the actor admitted that the financial setback was partially behind his decision to relocate to Haiti, where he is concentrating on earthquake relief efforts.
"I had nothing pressing," he said of leaving the US.
"I got practical issues, like everyone else... I had just got taken for one half of everything I had in the divorce, so it's not like I don't have to work."
However, Penn insisted that losing cash was not the most devastating effect of the split, saying: "A much more profound change in life for me personally was not being able to raise my son in a whole family through high school."
Penn and Wright married in 1996 and divorced in 2009. They have two children together.