Sinise told hosts Brian Kilmeade, Steve Doocy and Ainsley Earhardt it was a family decision to make the cross-country move.
"After so many decades and some great successes here in California in the movie and television business, we wanted to change," he said.
The star of "Forrest Gump" created a charity and veterans service organization called the Gary Sinise Foundation, which offers a variety of programs, services and events for wounded veterans.
Sinise said the decision was motivated by not having to pay state income tax in Tennessee and having his band, the Lt. Dan Band, in the Nashville area.
"I looked at all those no-tax states. … But I have many, many friends in the country music business and filmmaker friends in Nashville. There is all kinds of production going on in the Nashville area. It is a great no-tax state as you mentioned. It will be good for the foundation," he said, adding Tennessee is more "centrally located" near military bases.
Sinise said many of his employees made the move with him.
"Most of the folks are out of California now and operating in the new space in the Nashville area. We have had to repopulate the staff with a great group of new people. So we are rebuilding. We’ve got a great new CEO. We’ve got a great leadership team," he said.