12/13/2012 at 02:00 PM EST
He's got Oscars. Accolades. International fame. But what Sean Penn says he lacks in his life is love.
"There is no shame in my saying that we all want to be loved by someone. As I look back over my life in romance, I don't feel I've ever had that," the 52-year-old activist
and actor, who will soon be seen in Gangster Squad
, tells Esquire
for its January 2013 issue.
"I have been the only one that was unaware of the fraud in a few of these circumstances blindly," he says.
Having been married – and divorced – twice, to Madonna
from 1985 to 1989, and to Robin Wright Penn from 1996 to 2010
, Penn says, "When you get divorced, all the truths that come out, you sit there and you go, " 'What the f––– was I doing? What was I doing believing that this person was invested in this way?' "
In retrospect, he now considers such an experience "a fantastically strong humiliation in the best sense. It can make somebody very bitter and very hard and closed off, but I find it does the opposite to me."
During the roller-coaster ride of his last divorce, which started with a filing in Dec. 2007
, Penn and Wright – who have a son together, Hopper, and a daughter, Dylan Frances – halted proceedings after four months. Penn then filed for legal separation
in April 2009 before the couple again temporarily reunited
a month later.
Wright eventually filed for divorce
the following August. And though she announced the parting was amicable and the couple intended to remain friends, Penn said in an interview
: "[Robin] is a ghost to me now. We spent all those years together … Now she's just gone."