Joe to tackle Jones in final showdown.
Unbeaten Welshman Calzaghe, 36, has indicated he will hang up his gloves after his bout with Jones, who claims the purse will be split 50-50.
"We are fighting at Madison Square Gardens because it's an easier fight from over there to here," Jones said. "Vegas was on the radar, but it's easier to get a fight to New York.
"When Joe fought in Vegas (against Bernard Hopkins), I ran into a lot of people who weren't happy with the arrangements and the way they had to go through all the stops to get there.
So I wanted to make it easier for the people to come from the United Kingdom.
"Madison Square Gardens holds 18,000, about the same as if we were back at the Thomas and Mack Centre in Las Vegas."
Jones added: "I was a fighter of the 90s, but I'm also a modern era fighter. I'm going to show people what I am."
Calzaghe, who split with promoter Frank Warren last month, gave up his WBC super-middleweight belt to fight Jones in a light-heavyweight contest.
Calzaghe earlier expressed his desire to fight in New York. "I went to New York as part of the build-up of both the Mikkel Kessler and Bernard Hopkins fights and I love the place," he said.