According to Page Six, Cyrus' SUV was spotted driving into the garage of Davison's condo after they finished taping their appearance on the late-night show.
An insider revealed the pair "left NBC around 8:30 and arrived at Pete's place around 9:40 p.m." The source explained no photographs of the two as the vehicle pulled into an enclosed parking space.
Cyrus jokingly sang a cover of Yvonne Fair's It Should Have Been Me to tease Davidson regarding his newfound romance with Kim Kardashian during the show.
While belting out the lyrics, "Holding hands with somebody new / It should have been me," the Hannah Montana actress looked at Davidson and playfully flirted with the comic.
At one point, the Midnight Sky songbird even walked to Davidson, put her leg on him, and grabbed his hat off his head to put it on herself while performing the song. The Saturday Night Live star reacted with a smirk while nodding and pointing at Fallon during the banter.
The duo was on the show to promote their New Year's Eve special that they will be co-hosting this year. Cyrus and Davidson told Fallon they had been friends for a long time and even got matching tattoos together.
As Radar previously reported, Davidson recently has been linked to Kardashian after they were first seen holding hands on a roller coaster ride at Knott's Scary Farm during the Halloween weekend this year.
The couple fueled the romance rumors after being photographed holding hands in a parking lot in Los Angeles.
However, Kim's estranged husband, Kanye West, has seemed unhappy with her newfound relationship.
On Thursday, at his Free Larry Hoover benefit concert with his longtime nemesis Drake, the Yeezy founder begged for the mother of his children to return to him.
West changed his lyrics to his hit Runaway, saying, "I need you to run right back to me. More specifically, Kimberly."