The 52-year-old, who had a stormy four-year marriage to the singer from 1985 to 1989, attended her show and onlookers said Penn was quite impressed with her raunchy stage performance, reported Showbizspy.
Penn also went backstage to congratulate Madonna after her performance and witnesses said he was "like a teenage boy meeting his idol. It was amusing, and kind of cute."
Spotted: Virat Kohli, Anushka Sharma and other celebs at Mumbai airport
Photos: Salman Khan's 'special friend' Iulia Vantur at a song launch
Photos: Hrithik Roshan, Anushka Sharma, other celebs dazzle at event
In Pictures: Sex scandals involving Indian politicians
Photos: Abhishek Bachchan and Farah Khan at Boman Irani's birthday bash