I’ve read this multiple times, and just came across it again… Jim Morrison’s favorite movie was Anatahan (probably helped that his professor at UCLA directed the film - Joseph von Sternberg).
John Lennon mentions “Citizen Kane” and Fellini in a few interviews.
Roger Waters listed “El Topo” as a movie he loved… He and Nick Mason named “Cool Hand Luke” in this Pink Floyd comic strip.
(If you can only think of old jazz musicians - post them!)… Just as interesting to see the favorites of the non-English speaking stars.