Sir Mark Thatcher has been refused a visa to enter the United States in the wake of his conviction in connection with an African coup plot.
Sir Mark had been hoping to live in the US
The son of the former Prime Minister Baroness Thatcher had hoped to be reunited with his family in Texas.
But he said on Sunday: "I shall make the family home in Europe, not the UK, and my family will be joining me as soon as arrangements are made."
Sir Mark, 51, was given a four-year suspended sentence in January.
He was also fined by a South African court for offences related to the bungled coup attempt in Equatorial Guinea.
Sir Mark, who had lived in South Africa since 1995, came to Britain in February and has been staying with his 79-year-old mother in London.
He had hoped to move to Dallas, Texas to be with his wife Diane, 44, and their two children.
But he said in a statement: "It is quite true that my visa application has been rejected.
"It was always a calculated risk when I plea bargained in South Africa.
"As a result of this decision, I shall make the family home in Europe, not the UK, and my family will be joining me as soon as arrangements are made.
"But the children will continue to be educated in America."
A spokesman for Sir Mark said he could re-apply for a US visa after two years.