Kylie Minogue, George Michael, Kate Moss, Naomi Campbell and U2 star Adam Clayton were among celebrities seen watching the show - which finished just moments before the 10.30pm curfew imposed by Westminster Council.
Her sexy strip took place while she sang Like A Virgin in front of the 50,000-strong crowd.
Madonna, 53, peeled off her clothing to reveal a sheer bra and black lacy thong, which she wore under fishnet tights.
She told the audience: 'I like to live dangerously.'
Madonna also introduced her 11-year-old son Rocco, who joined her as a dancer during the gig.
As well as performing hits like Papa Don't Preach, Hung Up and Vogue, she also showcased tracks from her latest album MDNA.
Not all fans were disappointed. TV and radio presenter Toby Anstis tweeted : 'I can definitely say, that was THE best live show I have ever seen! Mesmerising from start to finish! Amaaaazin!'
Madonna's press spokeswoman Barbara Charone, was unavailable for comment about the mass walk-out.
A colleague said : 'She is out doing Madonna-related stuff.'
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