The legendary singer-songwriter admits Wise Up Ghost, his new collaboration with US hip-hop band The Roots, may not be to everyone's taste — but he is totally unapologetic for yet another change in musical direction.
Over the years, Costello has abandoned the spiky rock sound that made his name for country, jazz, easy listening and even classical albums.
Fans haven't always applauded his decisions but he defends his wildly eclectic career, saying: "There's a reason why I've made every record I've made. Times change. I change — and my albums aren't made for everyone.
"It's like asking 'Why did I ever have that haircut? What was I doing in those shoes? I don't understand why I have to justify the styles of music and list of people I have worked with over 30 years.
"The perception of me is so different from person to person and not everyone will like every album I ever make."
Yet, for all Costello's changes in direction, teaming up with Grammy-winning band The Roots seems his most unusual.
But Costello had been high up on The Roots' wish list of collaborations for many years.
And it was when Costello met the band's drummer Ahmir "Questlove" Thompson on the set of American talk show Late Night With Jimmy Fallon in 2010 — where the hip—hop act are the house band — that the idea finally became a reality.
"OK, Elvis and I are friends now so I was a stalker," I can admit confesses Thompson, 42.
"When we first got the job interview for the show, Elvis was one of the three artists used as an example of who could sit in with the band.
"I went back to Philly to tell Steve (Mandel — the band's engineer/collaborator), 'Steve we have to take this gig. If we are on the show, we can meet Elvis Costello and even play with Elvis Costello. And just maybe make a record with him, too.'"
Costello, 59, smiles at this praise and says: "We've both been called serial collaborators but this is more friendship has than that. A real friendship developed out of it."
In fact, when I meet the pair, who are tired but elated after performing together at Brooklyn Bowl last night, they laugh together like old friends.
The first chance for The Roots to impress Costello was when the band played "Secret Lemonade Drinker" as his walk-on jingle when he appeared on the Jimmy Fallon show.
The song was the theme to a famed R. White's lemonade advert sung by Costello's dad, Ross MacManus, with a young Declan McManus, aka Costello, on backing vocals.
"We had to show him we were fans" says Thompson. "Playing that was a little joke and he understood where we were coming from."
"I was also curious about The Roots," adds Costello. "When I was in England to do a show I didn't have my band so I was looking for help.
"I rang up Ahmir's friend Karriem Riggins who plays drums with my wife (Canadian jazz singer Diana Krall) and asked, 'Did he think The Roots would consider backing me, as I don't know how to ask them?'
Thompson admits he was nervous to suggest an album to Costello so in his spare time he began working on ideas which were then sent to Mandel.
Says Costello: "We were really about a work-in-progress, mixing and developing ideas as they came.
"Ahmir and Steve had created this cycle of strings and I started to listen to it. And the more I listened it the more the song came to me.
Then Ahmir came out to Vancouver and I sang all the vocal parts, the lead and background."
The ideas turned into songs which turned into 18 months of writing and recording, though the project started with an air of trepidation.
"Ahmir kept saying, 'I don't want to be too funky' ", says Costello. And I said 'But that's what you do!'
"We've had a banter going saying he was going to bring me down to hip-hop hell and I said 'No, you're going down to new wave hell.' "
"We're laughing now," says Questlove. "But I thought either I will be welcomed with open arms or I'll be blamed for destroying a hero."
There are few performers in music who have had a more varied career than Costello.
Since his first album, My Aim Is True, released in 1971, he has covered a range of styles including country, jazz, pop and new wave.
Costello has worked with artists as diverse as Burt Bacharach, Anne Sofie Von Otter, Bill Frisell, Marian McPartland, Allen Toussaint, Aimee Mann, Brian Eno and even Sir Paul McCartney.
"If you told me years ago that I was going to write 12 songs with Paul McCartney, I would have said you are out of your mind," says Costello.
"And playing in front of President Obama (Costello headlined his 2009 inauguration concert in Washington DC) was special, too.
"The one person we do have a friendly rivalry over is Prince," says Costello.
He says he contacted Prince for permission to cover "Pop Life" for his 1997 best-of compilation, Extreme Honey.
"I'd already been playing it live with The Attractions but was refused, via threatening legal letters from the lawyers.
"Ahmir is on first name terms with Prince, but he won't return my phone calls. Twice, I've called him."
But a common understanding was not a problem when making the new record. "'We share a common love and understanding of all types of music," says Thompson, who has also jammed with President Obama.
Wise Up Ghost, on the new album, references some of Costello's back catalogue, updating lyrics with new music.
"Stick Out Your Tongue" revisits "Pills And Soap," his protest song from 1983, in a groovier style; the dreamy "Tripwire" is based on a sample of 1989s "Satellite."
And "Cinco Minutos Con Vos," a duet with Mexican singer La Marisoul, of La Santa Cecilia, is the next chapter of "Shipbuilding," his famous 1982 song about an English father working on a boat that will take his son to Argentina to be killed in the Falklands War.
"Shipbuilding was never a big anti-war song but was about a father getting his job back so he could send is son off to an uncertain end. "With Cinco Minutos I tried to think back to before the Falklands catastrophe. Humans have always done terrible things to other humans. People are taken off the streets, supposedly because they are a threat to us.
"Things are being done in our name which are not accounted for properly. But how do you say that in a song?"
"You can't really because it's too complicated an idea.
"So I got it down to the poignancy of a father and a daughter. The daughter is waiting for her father to come home, but he's being pushed out of an aeroplane. These things are happening still.
"La Marasol adds humanity to the character in this beautiful vocal she gave us."
He might not be the angry young man he once was, but he still gets fired up about issues that affect him.
"All you can do is sing about the things that matter to you," he says.
"You always hear about those privileged show business people using their platform to promote causes, but it's a load of nonsense. No one's going to be swayed.
"But we can all say something and if we did, it would be better.
"But I'm not lecturing anybody. I'm simply singing a song on a stage.
"I sang 'Tramp The Dirt Down' at Glastonbury this summer. Not because Margaret Thatcher had died, but because it was a song.
"I'd been singing it all the year before. It was never just about wishing someone dead.
"And you know people can walk out if they choose. I've seen it happen before.
"I had a song called 'The Scarlet Tide' about the Iraq war. I was booed in Ohio when I sang it and then, six months later, when the tide turned, it was cheered at the Grand Ole Opry in Nashville.
"When I started singing 'Tramp The Dirt Down' again in 2011 I was kind of shocked it was such vociferous reaction in places, particularly the further north you went and in Scotland.
"People were saying if I sang it, it would be in bad taste because Thatcher was ill.
"Really? Was it worse than a cavalry charge in Yorkshire in peace-time? Go and look at Liverpool the way it was in the 80s. Was singing the song in worse taste than that?
"Or what about a person dying on a trolley in a hospital corridor?
I grew up in Tory England until the 60s and then the 70s when it all apparently disintegrated and Thatcher saved us. It isn't about party politics either. It's the same lie.
"It was a Labour Prime Minister who lied to the country about the Iraq war. Some would say he's a war criminal.
"And what about the mediocre, elitist. self-interested completely out of touch people who are really not up to it?
"People have to take responsibility. "It's just my opinion and it's just one of many things I'm singing about.
"The reason to sing Pills And Soap and to call it Stick Out Your Tongue is to bring it into the moment.
"It gives the music a little bit more insolence.
"Before it was more spare, now it's a groovier version of it.
"Everything has become blurred these days and it's not that hard to understand what is being said.
"The music is a reason to lift yourself out of it rather than just wallowing in despair.
"That's why the album is called Wise Up Ghost. It's not called lie down and give up the ghost."