Jennifer Lopez Smiles with Ben Affleck as They Depart Her Tonight Show Taping in New York City

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Jennifer Lopez and Ben Affleck are enjoying each other's company in the Big Apple.

On Thursday, the couple were photographed on their way out of Lopez's The Tonight Show Starring Jimmy Fallon taping in New York City to promote her new romantic comedy, Marry Me (in theaters and on Peacock Feb. 11).

Affleck, 49, and Lopez, 52, were bundled up while stepping out; The Tender Bar actor carried several bags on his arms as they walked together.

In this week's issue of PEOPLE, Lopez opens up about her rekindled romance with Affleck. They previously dated from 2002 to 2004 before calling off their engagement. When they reconnected last spring, they "had a little bit of fear," she told PEOPLE, acknowledging the media attention that surrounded them at the time. "Before we kind of put [our relationship] out there and we were naïve and it got a little trampled."

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Lopez said this time, "We both were like, 'Wow, we're so happy and we don't want any of that to come into play again'. We're older now, we're smarter, we have more experience, we're at different places in our lives, we have kids now, and we have to be very conscious of those things. We're so protective because it is such a beautiful time for all of us."

"It's beautiful the way it feels very different than it was years ago. ... There's more of an appreciation and a celebration for it, which is nice," said Lopez.

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"It was, 'Oh wow, we're not used to this and it's really beautiful.' But also we're at a different point in our lives and who we were then and what we've done in our lives since then," she added. "... I think people know [now] that we're artists who are going to be around for a long time and that's nice and they appreciate that and respect that. I feel that and I appreciate that too."

Lopez said, "I think we were both very happy that people were happy for us."

Marry Me follows superstar Kat Valdez (played by Lopez) who marries complete stranger Wilson Charlie (played by Owen Wilson) on a whim after splitting with fiancé Bastian (played by Maluma).

Playing a superstar singer in the romantic comedy was "really fun and also cathartic," Lopez told PEOPLE. She co-produced the film and enjoyed "revealing a little something of what it's like living in the public eye."