In February 1917, shortly before the fall of the Russian monarchy, Grand Duke Andrei left Saint Petersburg to join his mother in Kislovodsk. He remained in the Caucasus for the next three years. After the October Revolution he was briefly arrested along with his brother, Grand Duke Boris, but they escaped. He departed revolutionary Russia in March 1920, being the last grand duke to leave for exile. In 1921, he married his longtime mistress Mathilde Kschessinska and recognized her son as his. The couple lived in the South of France until 1929 when they moved permanently to Paris, where Kschessinska opened a ballet school. After World War II, Grand Duke Andrei lived under reduced circumstances. Until his death at age 77, he was the last surviving Russian grand duke born in Imperial Russia.