McCullum is one of eight New Zealand players contracted to the lucrative Twenty20 competition; last night learned the tournament would be moved to South Africa or England.
The 59-match tournament, scheduled for April 10 to May 24, clashed with the Indian general election campaign between April 16 and May 13.
"It's a sensible decision based on the situation in India with the elections," the Waikato Times quoted him, as saying.
"If you can't guarantee the safety of the players involved in the tournament, it makes it pretty hard to hold the tournament, regardless of where it is. It's disappointing not to play in India because it's an amazing place. They get right behind the tournament," he said.
McCullum said he had not decided whether to join the Kolkata franchise before last night's development.
Security concerns had dominated the build-up to the eight-team event, involving many big name international players, after a deadly attack on the Sri Lankan team bus in the Pakistani city of Lahore on March 3.