And Allen thanked fans for their raucous reaction to her set, saying, "I appreciate that you were jumping up and down because this is probably my last gig in London for some time."
She also dedicated her song Who'd Have Known to Cooper, before declaring her love for the businessman - prompting boos from revellers.
Allen quickly retorted, "Don't boo him you meanies... This one's for you baby!"
In the audience, Beyonce turned out to support her hip-hop superstar husband with actress Paltrow, while the Iron Man star's best pal Madonna watched the gigs with daughter Lourdes.
Allen still has one more performance left this summer (10) at the Benicassim Festival in Spain on 18 July (10).