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In the film "The Departed", when Billy Costigan gave Dr. Madden an envelope, he says something along the lines of:
Whatever you wannt to say, think about it real hard, and if you still want to tell me in two weeks...
What did Dr. Madden want to say to Billy before she got cut off?
She was going to tell Billy that she was pregnant and the baby was his.
At this stage Dr. Madden is still in two minds as to whether or not she is fully committed to her relationship with Colin and may very well have dropped the pretence and gone with him if he had been able to have prioritised their situation instead of asking her to wait (in which he also implied that it may be the last time that they would see each other).
So, with little hope of being able to pursue her relationship any further with Billy, she proceeds to tell and show Colin that she is pregnant and it is to be noted that while she shares his surprise (as it is heavily implied that they have been having problems in the bedroom throughout the film) she never implicitly states that the baby is his and just allows him to believe so to serve the moment and the situation.
Yet once she learns of Colin's treachery through the recordings sent by Billy, she makes one final allusion to the truth (that the baby is in fact Costigan's) by saying to Colin 'And I thought I was the liar' upon leaving his apartment.
