Jim Smeal / BEI / Shutterstock / Rex USA 1 / 4
Jim Smeal / BEI / Shutterstock / Rex USA 1 / 4

Sean Penn isn't letting the fact that Mexican officials just opened an investigation on him let him down.

The actor looked unaffected while out with his ex-wife Madonna and her two children David Banda and Mercy James for the Help Haiti Home gala at the Montage Hotel in Beverly Hills, California on Saturday, Jan. 9, 2016.

So what's with the investigation? It all comes down to an interview Sean did for Rolling Stone in October with El Chapo, the leader of the Sinaloa cartel.

The drug lord had been highly wanted since escaping Altiplano prison about six months ago. ABC News reports that it was Sean's secret meeting with El Chapo that ultimately helped the Mexican government locate him in Los Mochis, Meixco. He was finally recaptured on Friday, Jan. 8.

But both Sean and Mexican actress Kate del Castillo, who was also involved in the interview for Rolling Stone, are now being looked at by Mexican officials.

El Chapo talked to Sean about his drug trafficking trade: "I supply more heroin, methamphetamine, cocaine and marijuana than anybody else in the world. I have a fleet of submarines, airplanes, trucks and boats."

He also discussed how he broke out of jail with a man-made tunnel that stretched a mile long in July 2015.

Sean claims that he didn't want to break El Chapo's trust by turning him in since it was the first interview he had ever given to anyone outside of the police.