"We deeply appreciate the warm welcome we have received from the people of Pune, India, where we are filming A Mighty Heart," Jolie tells PEOPLE in a statement. "We are excited to have this chance for our children to learn about India's wonderful culture and history."
As Pitt first confirmed to PEOPLE in July, Jolie is playing Mariane Pearl, the widow of slain Wall Street Journal reporter Daniel Pearl, in the film version of Mariane Pearl's book, A Mighty Heart: The Brave Life and Death of My Husband Danny Pearl. The movie is being produced by Pitt's Plan B production company.
Daniel Pearl was abducted and murdered by Islamic extremists in Pakistan in early 2002.
"I am disappointed that we could not shoot the film in Pakistan, a country that I love and have visited three times. We look forward to visiting Pakistan soon. A Mighty Heart is a film about cross-cultural understanding and the values that people of all faiths share. This is not a film about terrorism or conflict, it is a story of people of all faiths working together to find the truth."
Jolie and Pitt spent Thanksgiving 2005 in Pakistan helping deliver supplies to survivors of the earthquake that hit the country that October.
The actress visited Afghan refugee camps in Pakistan shortly before she was named a United Nations goodwill ambassador in 2001.
Reporting by MARY GREEN