The legendary 67-year-old pop star sings about a "movie star with deep blue eyes" on the track Bizarre, with fans assuming she's referring to Sean - to whom she was married from 1985 to 1989.
"Love is the strangest thing. Just when you think you've finally let go, it comes back to you," she sings.
"Movie star, deep blue eyes. In Hollywood, we're a perfect prize.
"He drove way too fast, Shelby Cobra wasn't meant to last."
Madonna gifted a 1968 Shelby GT500 to Penn as a wedding present.
She continues on the song, saying the man was "threatened by her" fame, and he never wanted to "share the red carpet" with her.
Madonna croons: "Roll out the carpet for us, but you don't share it. All 'cause you're threatened by me, you won't admit it.
"The little things that you do don't make me want you. Who knew love could be so bizarre?"
Later in the song, Madonna sings: "I know I left you behind and you resent me. A thousand reasons why you could never have me.
"The thought of being with you is so indecent. I guess you'll never know my dirty little secret."
Despite speaking previously about her intense relationship with Sean, Madonna told him from the stage at a charity gala in 2016: "I loved you from the moment that I laid eyes on you. And I still love you just the same."
Confessions II is released on Friday.
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