"Tonight I want you to let go of all of your insecurities. I want you to reject anyone or anything that ever made you feel that you don't belong. Free yourself of these things tonight! Yeah!!!" she encouraged her fans at one show.
"You're hoping to speak to people who feel different, who feel disconnected?" Cooper asked.
"People who feel disconnected from society or disenfranchised, feel like a freak, feel like you don't belong, like you don't fit in, or you'll never be great," she explained.
She sees herself in her fans. She calls them "Little monsters" and they are devoted to her.
Two months after seeing her in London, we met up with Lady Gaga in Milan. She had transformed herself once again - new hair, new makeup, and hardly any clothes.
"What are you wearing today?" Cooper asked.
"I just didn't wanna wear clothes today. For whatever reason I just didn't. I actually don't even have any foundation on my face. I just wanted eyeliner and my McQueen boots," she told Cooper.
Lady Gaga doesn't consider herself just a pop singer. She sees herself as a performance artist - a living work of art onstage and off. The clothes and wigs are all part of the production.
"I'm a true academic when it comes to music and when it comes to my style, my fashion. There's nothing that I've ever put on my body that I didn't understand where it came from, the reference of it, who inspired it. There's always some sort of a story or a concept that I'm telling," she explained.
The concepts are not always obvious to most people. Last year she wore an outfit made of raw meat to an award show, accompanied by several discharged gay service members. She says it was a commentary on "Don't ask, don't tell."
Spending time with Lady Gaga, we realized the outfits and transformations are not just attention getting, they're also attention directing - a way for her to keep the public focused on her work, as opposed to her personal life.
"Part of my mastering of the art of fame, part of it is getting people to pay attention to what you want them to pay attention to. And not pay attention to the things you don't want them to pay attention to," she told Cooper.
"You've studied the fame of other people, how they got it, how they kept it and how they lost it," Cooper remarked.
"The sociology of fame and how to maintain a certain privacy without, feeling like you're withholding anything from your fans. My philosophy is that if I am open with them about everything, and yet I art direct every moment of my life, I can maintain a sort of privacy in a way. I maintain a certain soulfulness that I have yet to give," Lady Gaga said.
The pressures of maintaining fame and the deadly price other superstars have paid for it are frequent themes in Lady Gaga's performances. At the MTV Video Music Awards she shocked the audience by the ending of her song "Paparazzi." Drenched in blood and hanging above the stage, she resembled a blond icon dying before our eyes.
"That's what everyone wants to know, right? 'What's she gonna look like when she dies? What's she gonna look like when she's overdosed?' on whatever they think I'm overdosing on? Everybody wants to see the decay of the superstar," Lady Gaga said.
"Do you think people wanna see your decay?" Cooper asked.
"What? Of course they do! They wanna see me fail, they wanna see me fall on stage, they wanna see me vomiting out of a nightclub. I mean, isn't that the age that we live in? That we wanna see people who have it all lose it all? I mean, it's dramatic," she replied.
"And then climb their way back," Cooper remarked.
"Right. It's a movie. And yet I just am not like that on my own time. I'm not a vomit-in-the-club kind of girl," she said.