David Heyman, producer of the Harry Potter movies recently commented during post-production on Harry Potter and the Goblet of Fire that the movies may be moving outside the UK:
We are exploring all options to determine the best place in the world to make the film. We are looking at the UK and other places all over the world.
We reported in March that a Warner Bros. source on location in Scotland said that they were concerned about losing money and that it would be better if they could save money by moving from the UK. Filming for Harry Potter and the Order of the Phoenix is schedule to start early next year
As always please treat this as a rumor until confirmed by Warner Bros.
Thanks to Page for the tip.