"I think he just really admires her work," Dylan explained to Entertainment Tonight on Monday while promoting her film debut, The Condemned. "They're just really good friends and it's sweet that they can have this relationship."
Nearly 30 years on Madonna and Sean Penn are good friends
In fact, the 24-year-old actress met Madonna when her father introduced them at the singer's Madison Square Garden show in September. Dylan said it was "surreal" to meet "my dad's ex-lover".
Sean later wrote Madonna a letter praising the concert and telling her how much he had enjoyed himself.
Speaking during a performance in Brooklyn that same month, the diva the crowd: "I did a show at Madison Square Garden the other night if you heard about it. And my ex-husband was there! Could you imagine?
"He had been at my show 30 years earlier when I was at Madison Square Garden, and he was very upset with me for wearing a costume that was too revealing. That's not a lie!
"Anyway after the show he wrote me a letter and said he finally appreciates my art. And that is what I have to say about marriage, OK? Thirty... years later."
The Oscar-winning actor is certainly making up for his frosty attitude three decades ago. He attended another gig a few weeks later this time in Vancouver, Canada.
He and Madonna tied the knot in August 1985 following a whirlwind romance, before calling time on their marriage four years later. She was then married to Guy Ritchie for seven years, while Sean wed Robin Wright, with whom he had two children, Dylan and her brother Hopper, who is two years younger than her.