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"We're really good friends," he told W magazine in an interview published Tuesday.
Throughout the night of the gala, both Mendes and Baldwin posted photos of them holding each other and enjoying the evening, adding to the suspicion the two were an item.
Even though they weren't going as a couple, Mendes still wanted Baldwin to have the time of her life.
"It's funny, she's such a pro with this type of stuff. I want it to be amazing for her, so I've been trying for the past 24 hours to be really silly so that she stays on," he told the magazine. "I'm happy to walk with her—she's amazing."