The couple ended their romance last week but did not reveal the reason behind the split, reported Ace Showbiz.
The 37-year-old actor was seen with a lot of models during a recent Halloween party in New York. He made an entrance to Cipriani 42nd Street with 15 models.
Although he was hiding behind mask, people knew that it was the actor.
"DiCaprio tried but failed to make a subtle entrance in a mask with a gaggle of 15 models," a source said.
DiCaprio has been busy filming "The Wolf of Wall Street" which will be released in North America in late 2013.
Prior to Heatherton, DiCaprio has dated a series of leggy and blonde women such as Gisele Bundchen, Bar Refaeli, and Blake Lively.
Bundchen and Lively have both settled down while Refaeli claimed she is still friends with the actor.