"I want to say Sean, I love you, from the moment that I laid eyes on you," she said in a speech to Penn while attending the Help Haiti Home charity gala in Beverly Hills, California.
"I just wish you'd stop smoking cigarettes," she added.
The pair appeared close at Saturday's event – not for the first time in recent months – as they arrived together and held hands.
Penn's daughter, Dylan, explained it this way in October:
"I think he just really admires her work," she told Entertainment Tonight. "They're just really good friends and [I think] it's sweet that they can have this relationship."
Buckner / Variety / REX / Shutterstock
Penn, 55, attended a September concert during Madge's Rebel Heart tour, where she performed "True Blue," a song originally dedicated to him.
And in December, Madonna, 57, defended Penn in his defamation suit against film director and Empire creator Lee Daniels, who Penn said had falsely accused him of abusing the pop star.
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On Saturday though, Penn was making headlines for reasons nothing to do with his charity work: Hours before the event, Rolling Stone published an interview that Penn conducted in secret with the then-fugitive Joaquín "El Chapo" Guzmá Loera, head of the Sinaloa drug cartel.
Guzmán was aggressively pursued by Mexican authorities for six months following his escape from federal prison in July.
He was recaptured on Friday.
Asked to comment about this piece Saturday, according to Variety, Penn said, "I can't."
After the event, Penn hosted an after party at The h.Wood Group's Blind Dragon that drew Patricia and David Arquette, Rosetta Getty and her family and his daughter Dylan Penn.
"Sean was in the best mood and didn't seem to have a trouble in the world," says an onlooker.
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Reporting by MATTHEW COLE WEISS