The actors have been seen together in a number of occasions in recent weeks, reported Ace Showbiz.
"They arrived together and sat next to each other. The actors were in deep conversation. The alleged couple stayed behind for an hour at the party and looked happy and very friendly," a source said.
Gyllenhaal and McAdams are co-stars in the boxing film 'Southpaw'. Also starring Lupita Nyong'o, it follows a junior middleweight champion of the world who suffers a tragedy that causes his world to come crashing down around him.