Sean Penn’s feelings for his ex-wife Madonna, 59, haven’t gone away he told Stephen Colbert on The Late Show.

On a segment called Penn-y For Your Thoughts, Penn was asked if he had to pick between Britney Spears and his ex wife Madonna, which one would he choose. He laughed in response to the question and said, “I love my first wife very much.”

“There’s no comparison… You don’t compare those things,” Penn said. Colbert’s immediate reply was that, “People compare them all the time.” Penn paused in an awkward fashion for a moment. Colbert asked definitively, “So you’re going with Madonna?”

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With a little smile, Penn said, “Sure, I’m a Madonna guy.”

The couple were together for four years and split in 1989. A source told Us Weekly in 2010 after they were seen having dinner for over three hours, that the couple were “fire and fire together romantically” and that Madonna “can only be with someone she can control.”