"What I've been doing for the past four years is having babies, building, writing a lot of music and writing screenplays," the 55-year-old actor tells Hollywood Foreign Press members.
Kevin, who has three children aged three, one and five months by his wife of six years, Christine Baumgarten, adds: "I haven't worked for a really long time. I tend to make movies that aren't sequels so I'm not exactly in vogue."
But he has a new film coming out soon, The Company Men, which also stars Ben Affleck and Tommy Lee Jones and in which he plays a construction boss who hires his brother-in-law who has been laid off from his high-powered job.
Costner won his Golden Globes for producing and directing Dances with Wolves in 1991.