The pair started dating in October and were last seen publicly together Dec. 9, the magazine's Web site said.
"They're over," an unidentified insider told People.com. "It ended last month."
No reason was given for the breakup.
Gyllenhaal can be seen in the current release "Love & Other Drugs." His other film credits include "Prince of Persia," "Brothers," "Brokeback Mountain" and "The Good Girl."