The pop star performed for a sold-out crowd at the Vector Arena when she became overcome with emotion while dedicating "La Vie en Rose" to her eldest son.
"That is my son, who I mentioned earlier. He is actually 15 and it's true, there is no love stronger than a mother for her son," she's shown saying, in video obtained by TMZ.
"And, if I talk about him too much, I might cry. But I would like to dedicate this song to him. It's a love song for a man, but I know he'll be one, one day. I hope he hears this somewhere and knows how much I miss him."
Earlier this week, a New York Supreme Couty judge urged Madonna and Guy to come to an agreement to end their custody battle out of court.
Justice Deborah Kalplan ruled back in December that Rocco was to be returned to his mother in New York, after he moved to London in mid-2015 and began attending school there.
However, Guy's attorney claims that Rocco does not want to move back to the Big Apple.
Justice Kaplan told the court on Wednesday that she remains hopefully both parties will come to an agreement that is in the best interest of their son.