Madonna and Cynthia Rodriguez.
David Fisher/REX USA; Sipa
Cynthia Rodriguez is speaking out for the first time since filing for divorce
on Monday from Yankee slugger Alex Rodriguez and accusing him of "an affair of the heart" with Madonna
She still loves her husband, Rodriguez told New York Post columnist Cindy Adams
. But his alleged infidelities have caused her so much pain that she "refuses to go there again."
Rodriguez, who is in Miami with her two small daughters while Alex remains in New York, revealed that her husband supported her leaving town when news of his alleged affair with Madonna – which Madonna vehemently denied
in an exclusive statement to PEOPLE – broke.
"My husband knew I was going. He encouraged it," says Rodriguez. "I needed to get away. With clear-headed friends. To breathe. To think how I'm going to handle my kids. I just needed a little time."
She said their 3-year-old, Natasha, is asking for her father and saying, "I miss my daddy," according to Adams.
The All-Star's estranged wife also denied reports that she ran off to Paris with pal Lenny Kravitz and went on a $100,000 shopping spree to punish her husband, leaving her girls, including 11-week-old Ella, at home.
"Not one word of those stories is true," said Rodriguez. "I never before in all my married life together ever went away without my husband or family. Not once in 13 years."
"I did not spend one dollar shopping in Paris," she continued. "I did not go to super-fancy expensive restaurants. I did not go to any spa. I didn't do one thing. I spent the most innocent four days with my children's godparents, who are as close to us as family. My husband and I were already into our problems and I didn't know where to go, what to do. I needed to think. To clear my head."
Rodriguez added that her family is very upset by the split. "Mine's a close-knit family," she said. "Never one divorce on my side. My parents, aunts, uncles are devastated."