Last week the 51-year-old actor and Shannon, a TV and film producer, went jogging in Malibu.
Madonna, who was married to Sean from 1985 to 1989, recently shared that he helped her decide to try her hand at directing.
“I am and was attracted to very creative people which is why I married Sean Penn and Guy Ritchie, two very talented directors,” she said during the Venice Film Festival, where she premiered her directorial debut W.E..
“They both encouraged me as a director and as a creative person to do what I did, and they were both very supportive,” she added.
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