The Italian fashion designer relished the challenge of updating the late King of Pop's image for his stage shows and joked he was furious when the star threw his hand-crafted jacket into the crowd.
He told Vogue magazine: ''He came to me and said, 'Roberto, I need you to give me a new look. I'm tired of the moccasins, I'm tired of the white socks.' So I created a fantastic jacket for him, it took months to make.
''I remember when he got on stage, there were thousands of people in the audience yelling, 'It's too hot for the jacket.' So he threw it into the crowds! I couldn't believe it. I said to myself, 'I am never making him a jacket again.' ''
The 72-year-old style maven - who has dressed the likes of Beyonce and Victoria Beckham - has become a celebrity in his own right and loves the flattering feeling of people screaming his name.
Cavalli said: ''It is difficult for me to walk down the street [in London], it is all over the world, but here it is impossible. Especially in Harrods, I mean oh my god. I enjoy it sometimes, but sometimes it is tiring.
''They ask for my photos, and I try to help as much as I can. I have many admirers in London - it makes me feel important.''
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