The Spain international has spent his entire career with Los Blancos ever since making his debut back in 1999 but he admitted that the pressure of playing at the top may drive him to seek a less pressuring environment to play out his final years as a professional footballer.
"I would like to retire with Madrid, but if the critics are fierce when I am 31, imagine what they will be like when I am 37," Casillas told La Sexta.
"I would like to play out my football in the future in a more relaxed environment and if I have to play somewhere else then it would be for a team that would not come into direct competition with Real Madrid. For example in the USA, which I love."
Casillas also spoke about the future of Madrid boss Jose Mourinho and revealed he would find it hard to imagine the club without the Portuguese at the helm.
"I know nothing of his future, I have not spoken to him. If the club asked him to extend his contract [last May] then it is because they want him to stay," he added.
"He is very professional, very demanding. He finds out about every opponent, from Alcoyano in the cup to Bayern Munich in the Champions League.
"I cannot imagine a Real Madrid without Mourinho, he has said that he is planning for the next pre-season."