Unlike professional athletes, actors (Gene Hackman) and some novelists (Philip Roth), visual artists don’t usually retire. Or if they do, they don’t announce it. But in 2011, Maurizio Cattelan — one of the most expensive living artists, then at the peak of his career and the subject of an uproarious retrospective at the Guggenheim Museum — told the world that he was finished, fatigued both creatively and by the velocity of the money-fueled art world. During the last couple of years, though, Mr. Cattelan found himself itching to make things in three dimensions again. “Actually, it’s even more of a...