Kate's moving admission came during an extraordinary interview with TV host Oprah Winfrey, filmed just days before the second anniversary of Madeleine's mysterious disappearance.
When asked how often she thought of Madeleine, mum-of-three Kate replied: "Not a day goes by when I don't think about her. I feel Madeleine is still close to me and alive."
She then described how her daughter's bedroom at their Leicestershire home is kept ready for her return and touchingly told how she goes in there at least twice a day "just to say hello to Madeleine".
In the compelling hour-long show taped in Chicago, Kate, 41, and husband Gerry told how:
TWINS Sean and Amelie still talk about their older sister "coming home".
DAUGHTER Amelie now wears Madeleine's clothes.
ANGUISH left Kate wishing she could slip into a coma and not wake until the drama ends and Madeleine is back.
The McCanns are desperate to shine the spotlight back on the case as the two-year anniversary of Madeleine's disappearance comes next Sunday, May 3.
The toll of the long search- supported by a £1.5 million reward offer from the News of the World-was clearly etched on frail Kate's face and she broke down a number of times. She was comforted by Gerry and Oprah herself. Many of the audience, who were left boxes of tissues under their seats, sobbed as Kate talked.

Gerry clutched her hand while she struggled to describe the devastation Madeleine's disappearance from their Portuguese holiday apartment caused.
Kate had to wipe away tears when she was shown a computer-generated image of how Madeleine may now look at six years old. Staring at the screen, she did not recognise the face looking back at her. "I don't know who that little girl is," she admitted.
The incredible picture shows Madeleine with slightly darker hair than the blonde locks seen in her last holiday snaps.
Her face is also thinner, but her piercing blue eyes shine through.
When Kate was asked by Oprah if that was how she imagined her daughter would now look, she began to well up.
"I only remember Madeleine when she was four," said Kate. "She remains four years old in my mind."
The photograph will be used in a reconstruction the McCanns are planning next month. Kate also shed a tear when she talked about how her other children miss their "big sister".
"I can't believe that the twins are now older than Madeleine was when she disappeared," said Kate. "They're four and Madeleine was a few days from her fourth birthday when she went missing."
Kate said the twins talk of their big sister all the time and say: "Madeleine will like this when she comes home."
And Kate told how Amelie has taken to borrowing some of Madeleine's clothes-although the oufits last worn by her in Portugal are kept tucked away and untouched.
As well as film of the Praia da Luz holiday flat there was footage of the McCanns at their Leicestershire home.
In one scene Kate is moved to tears as she points to Madeleine's painting of a train on the kitchen wall. She told Oprah it was completed just before they left for Portugal.
A home video of Madeleine singing "If you're happy and you know it" drew audible sighs from the audience.
Kate confessed there are times "when I wish I was in a coma and I wake up and Madeleine is back home with us."
Oprah asked if they would ever stop looking and the couple shook their heads.
"There are too many unanswered questions," said Kate.