"Not everybody is there to see you. Those festival shows tend to tip towards more widely known tunes because you are trying to make a connection with a whole field full of people.
But when you do your own concert, people have bought tickets specifically to see you so it's a mix of expectation and surprise.
"If you save all your hits until the end, it becomes a little bit predictable and I don't think you necessarily get the best out of the songs. After 30 or so years of performing, I have found there are better ways of presenting them. I try to make a story.
"In recent years, The Imposters have come to grips with about 150 of my songs, probably because of our Spectacular Spinning Songbook shows, in which we used a device to select a song. We have put that aside, but it has given us a command of a lot of tunes and we have grown as a band.
"Combine some of the lesser known songs with better known ones and, suddenly, you can present a fresh story to an audience."
Forget applause or accolades, the chart success of early singles Watching The Detectives, Oliver's Army and (I Don't Want To Go To) Chelsea or, later, Veronica, co-written with Paul McCartney. Isn't the very act of writing a song a valid enough exercise, perhaps even if that song doesn't reach an audience?
"It is a strange thing to have lived on your wits for 40 years, which is what I have done," Costello says. "Once you get a bit of recognition you could just keep writing that guitar riff, but that's just not very satisfying. So when people ask me, 'why don't you make another record like that one?', the answer is easy: 'I've already done that'.
"You can go into a room with four guys and just start to play and create something brilliant. But you go and do it another time in your life - with the same people - and it will sound quite different."
Costello is referring to drummer Pete Thomas and keyboardist Steve Nieve, both of whom have often been by his side, on stage and in the studio, since his 1977 debut album, My Aim Is True.
Back then they were The Attractions; since 2001, along with bass player David Faragher, they've been The Imposters. As Costello says, the same, but different.
"We are not the people we started out as. Why would we be? You would hope to take advantage of the fact you've had all these experiences. The great thing is we are not trying to find the easy solutions ... there is a playfulness that makes it a pleasure."
There have been solo projects and various other dalliances, including performing with symphony and jazz orchestras.
Last year, Costello released an album, Wise Up Ghost with New York hip-hop/funk outfit The Roots that had critics raving. Some of the Ghost tracks have made it into his live setlists of late despite the different personnel playing them.
"Not long after I had released that album with The Roots, The Imposters and I went to Japan late last year. I thought it would be good to perform some tracks off Wise Up Ghost with the band.
"We ended up playing seven songs and they were a completely different animal when played by The Imposters."
Costello has also been working with producer TBone Burnett on an album where a set of unpublished Bob Dylan lyrics have been set to music by a group including Costello, Rhiannon Giddens (Carolina Chocolate Drops), Taylor Goldsmith (Dawes), Jim James (My Morning Jacket) and Marcus Mumford (Mumford and Sons).
"We had lyrics by a fairly good songwriter," he says, drolly, "but you could take the same lyric and there would be four different musical versions of that song. Somebody would write with complicated chords, another would have simple chords; somebody had done an up-tempo song, another had done a ballad.
"Marcus Mumford, who has that talent for writing memorable songs with very few chords in them, could write a song that made you go, 'wow, that's a good tune'. The next thing we'd be making a record of it," Costello says.
"We all saw what was on the page differently.
"And because we didn't have the author of those lyrics there to argue his side of it - and we were dealing with unfinished lyrics in some cases - there were choices to make."
The album to be called Lost On The River: The New Basement Tapes - the title a reference to the famous set recorded by Dylan in 1967 with The Band - will be released later this year.
Though Dylan wasn't an active participant, a "Dylan-Costello" credit is certainly something to add to his "McCartney-Costello" and "Bacharach-Costello" collection.
In reviewing his wide-ranging collaborations, Costello says most are simply the result of an invitation or friendship: such as his 1993 album with the Brodsky Quartet, The Juliet Letters and, more significantly, his 1998 release with Burt Bacharach, Painted from Memory, which resulted in a Grammy (for the song I Still Have That Other Girl.)
It could also result in a stage musical. There are reports producer Chuck Lorre, whose credits include Two and a Half Men, The Big Bang Theory and Mike and Molly is working on a Broadway musical inspired by the lyrics of I Still Have That Other Girl.
"As always with these things, it takes a tremendous amount of time to get things to the stage. I'm not a kid [Costello turns 60 later this year] and Bacharach [aged 85] isn't either. But he's the guy ringing me at midnight asking if I've finished the lyrics yet. You have to say, there is something about this music game."
Who: Elvis Costello and the Imposters
Where and when: Queenstown Blues and Roots Festival today; Civic, Auckland tomorrow night
