Taking to social media to share her annoyance, the pop superstar posted a clip in which she can be heard shouting a number of expletives and then returning to the stage from behind the closed curtain with her backing dancers as the crowd chant her name.
She then launches into a performance of I Rise under the house lights with her microphone switched off.
She captioned the clip: "Artists Are Here to Disturb the Peace................
"It was 5 minutes past our 11:00 curfew - we had one more song to do and The Palladium decided to censor us by pulling down the metal fire curtain that weighs 9 tons.
"Fortunately they stopped it half way and no one was hurt.............. Many Thanks to the entire Audience who did not move and never left us.
"Power to The People!!"
One fan wrote on Twitter: "Madonna was amazing. The Palladium put the house lights up and pulled the curtain down on her. She had a big row with them then came back out and carried on with no microphone. Last seen in the stalls bellowing I Rise at people as they were gathering up their coats."
Another wrote: "Madonna just got cut off mid song by the Palladium curtain dropping and the lights coming up as she overran the curfew. Glorious moment. She finished the show a capella in front of the curtain like a champ!"
Another said: "So not only did we finally see the utterly iconic Madonna live but she missed the curfew and the Palladium shut the lights and sound off. As the curtains fell, Madonna and her dancers stormed back onto the stage and sang I Rise a capella backed by the audience."
Representatives for the Palladium have been contacted for comment.