The festival made the announcement early Tuesday.
“Gatsby” was originally scheduled for release last Dec. 25, but the studio decided to avoid going head to head with another DiCaprio starrer, “Django Unchained,” and opted for a May 10 launch.
Producers are Bazmark, Red Wagon and Village Roadshow.
“Moonrise Kingdom” opened Cannes last year.
“Gatsby” will be just the second film to screen in 3D at the festival after “Up” in 2009. It opens in France the day the festival starts.
Luhrmann’s “Moulin Rouge!” opened the fest in 2001, while his “Strictly Ballroom” screened in Un Certain Regard in 1992.