Fallon joked: "You know you didn't have to get engaged to Ariana Grande to come on our show?" to which he replied: "But I did, though!".
What's unknown is if the new couple are renting the pricey apartment or if they're buying it.
"It's so amusing walking down the street, because dudes are walking by and they're like", the star continued, tipping his hat.
According to TMZ, the pop star and the "Saturday Night Live" comedian, both 24, are now living in an incredible $16 million apartment in New York City.
Ariana has starred multiple times as a musical guest on Pete's show Saturday Night Live and it's not impossible to imagine that brought the two closer together. It's so sick. It's f**king lit, Jimmy, ' he told the host, obviously over the moon about it.
She and Davidson made their relationship public on Instagram at the end of May, following the end of their previous long-term relationships.
Sweetener is Grande's fourth studio album and her first since a terrorist attacked one of her concerts in Manchester in May 2017.
"Some dude came up to me and was like: "Yo man, you gave me hope". She revealed an interlude would be titled "Pete".
Ariana and Pete reportedly began dating in May after Ariana's breakup with Mac Miller. Davidson and girlfriend Cazzie David also split around the same time.