The actors co-starred in the cowboy romance "Brokeback Mountain" and Gyllenhaal is the godfather of Ledger's 2-year-old daughter, Matilda.
Gyllenhaal has kept a low profile since Ledger was discovered dead in his Manhattan apartment Jan. 22. The cause of Ledger's death has not yet been determined.
"Jake is taking this harder than most people," a friend of the actor told People.com.
Upon hearing the news of Ledger's death, Gyllenhaal reportedly left the set of "Brothers," the Jim Sheridan-directed picture he had been shooting in New Mexico.
Gyllenhaal returned later in the week to work on another scene, but is now taking a break for a while to grieve.
"He was there, but he wasn't with us. It was obviously a major trauma," a movie set insider told the magazine. "These guys were very close. (Jake) was sitting in the director's chair staring off into space."