The 31-year-old singer reportedly joked about wanting to drink "all day" during her concert in Detroit Lakes, Minn., on Friday.
Lambert and the 39-year-old "The Voice" coach both performed at WE Fest over the weekend.
Several fans at the country music festival tweeted about Lambert's remark, with slight variation. One such fan quoted the singer as saying, "I wish I've been drinking all day. I deserve it... I just got divorced."
Lambert and Shelton announced their split in late June, revealing, "This is not the future we envisioned."
Fellow singer Chris Young subsequently denied reports he and Lambert had an affair that helped contribute to the breakup.
The former couple had been together since 2006, and married in May 2011.
Lambert released her fifth studio album, Platinum, in June 2014 and will kick off the third leg of her accompanying tour Sept. 25, while Shelton last debuted Bringing Back the Sunshine in August 2014.
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