The build-up to Saturday's bout in Manchester - the Bolton fighter's first on home soil since 2009 - has been affected by a row about TV coverage.
The fight will now be shown on the little-known Primetime channel after an argument with planned broadcaster Sky.
"I think it'll be a long time until I come back," said the 24-year-old.
"I'm not going to say it could be my last fight in Britain because I think there are some big fights for me in the UK.
"But I've always said from day one there is more money to be made for me in America if I fought there."
Khan hopes that victory over the unbeaten McCloskey, from Northern Ireland, at the MEN Arena will lead to a unification fight against WBO champion Timothy Bradley in the summer.
But Khan expects fights of that magnitude will take place in America, especially in light of recent events which have culminated in Saturday's bout being screened on the obscure Primetime TV channel after it was dropped by Sky's pay-per-view box office outlet.
"I chose to come here and fight live in front of my own fans," he said. "That's just me. I just wanted to do that and put a fight on.
Paul McCloskey has a cyrotherapy session in the lead up to his world title fight against Amir Khan"But being a British fighter and having more support from American TV just shows that as a UK fighter I should have had British TV supporting me more."
Khan insisted he wanted to have his big fights in England but added "it will be quite difficult to make them. I think they will probably be more likely in America".
After the McCloskey fight was dropped from Sky Box Office, Khan's team rejected the option of more exposure but less money on Sky Sports 3.
The move to the low profile Primetime channel has led to McCloskey's promoter, Eddie Hearn, claiming the challenger is now earning more than the champion, which Khan disputes.
Khan's last two fights have been in New York and Las Vegas, with his last outing a brutal points victory over Marcos Maidana in December.
And although the former Olympic silver medallist, who has lost once in 25 fights, says he is focused on McCloskey [22-0] he does admit he is eyeing up a bout with Bradley.
"You can never take any fight easy but I don't think McCloskey hits as hard," said Khan.
"The fight can take me to better things and winning will take me to Bradley."
American Bradley defended his WBO title in January with a 10th-round victory over WBC title holder Devon Alexander, prompting speculation over a summer showdown with Khan.
I train like a challenger - Khan"We want to get this fight done first. There's no point looking too far ahead. We know what we want but we're not in talks about it yet," stressed Khan.
"I want to get this guy [McCloskey] out of the way and then as soon as I have got him out the way then Golden Boy Promotions, who I'm with, can negotiate the big fight against Bradley and hopefully we can get that down in America or maybe here, which would be amazing."
Before that fight can take place Khan must beat Northern Ireland southpaw McCloskey, who defended his credentials.
"With me being European champion and the highest-ranked European fighter in the world, it was the most natural fight to have over here for Khan," said McCloskey.
"The opportunity here is amazing. Being honest with you, a couple of years ago I would have fought Amir Khan for nothing, just to prove the point.
"But actually that is not the case now, I've got a right to have this fight, I have earned the right to be here."
The 31-year-old believes he is challenging Khan on merit but he admitted that sitting next to Khan's superstar promoter, Oscar De La Hoya, at a press conference was a million miles away from his day job, managing a supermarket in Dungiven with his wife.
"I won't change my life for anything and when I win this title I'll still work and manage the shop," he said.
"If you said to me five years ago I'd be sitting in front of an audience with Oscar De La Hoya getting ready for a world title fight... it's surreal, it's nice."
