The Hollywood Reporter said fans chanted "salope," the French word for "slut," and "remboursez," which means "give us our money back," when the singer cut short the show, which was broadcast live via YouTube.
The concert was added to the schedule last week and sold out in hours. Tickets sold for between $99 and $345 for the limited seats.
One fan complained on Twitter about the value of the experience of seeing Madonna live Thursday.
"How much does it cost to see Madonna at l'Olympia? It's 6.3 euros per minute!" the fan said.
Radio France Internationale said Madonna did not, however, use a video image of France's far-right leader Marine Le Pen with a swastika superimposed on her forehead as she did during her last Paris performance July 14. The move prompted a lawsuit from Le Pen's Front National.
"I know that I have made a certain Marine Le Pen very angry with me. It's not my intention to make enemies," Madonna told the crowd at the Olympia concert hall Thursday, explaining her point was to encourage tolerance around the world.