The 24-year-old model's father Sean Penn, who divorced the 57-year-old singer in 1989 after four years of marriage, introduced the pair for the first time after her gig at New York City's Madison Square Garden last month, but she insists they have no plans to rekindle their relationship.
Dylan said: 'I think he just really admires her work. They're just really good friends and [I think] it's sweet that they can have this relationship.'
But the 'Condemned' star, whose mother is 'House of Cards' actress Robin Wright, admits it was a little strange to meet the Oscar winning-actor's first wife.
She told 'Entertainment Tonight': 'It was kind of surreal to meet her. Like, my dad's ex-lover.'
Sean, who has been single since splitting from former fiancée Charlize Theron in June, previously revealed he and Madonna are still 'very friendly.'