During his set at the South Orange Performing Arts Center in New Jersey, Davidson, 25, was in the middle of a joke saying, “My friend died in my apartment,” when a fan yelled out “Mac Miller?” according to a recording obtained by TMZ.
Davidson immediately stopped the show and asked, “Who’s that guy? We’re getting him out.”
The room then went silent as the Saturday Night Live star urged members of the audience to point out the heckler, who he referred to as a “f— face.”
Davidson then threatened to leave the venue if the heckler wasn’t removed. “I will not continue until that kid is gone,” Davidson said in the clip. “Find him.”
“I’ll leave… give him his money back and get him the f— out. I don’t deal with that s— at my shows.”
The fan was eventually removed, prompting the audience to erupt in applause and Davidson continued the show.
Miller and Grande, 25, split in May 2018 after first going public with their relationship in September 2016.
Also in May, PEOPLE confirmed that the singer and Davidson had recently started dating. Less than a month later, Davidson popped the question.
In October, just two months after Miller’s tragic death, Grande and Davidson called it quits.
“It was way too much too soon,” a Grande source told PEOPLE. “It’s not shocking to anyone.”
RELATED: Ariana Grande Asks Fans to ‘Be Gentler’ with Pete Davidson: ‘I Care Deeply’ About His ‘Health’
PEOPLE previously reported, Davidson and Beckinsale, 45, talked intently for most of the night at Netflix’s Golden Globes afterparty, keeping their focus on each other even while mingling with Davidson’s close friend Machine Gun Kelly, Isla Fisher and Sacha Baron Cohen.
Eventually, the other members of the group wandered off, and Davidson and Beckinsale continued to chat. One onlooker said they cuddled at the party as well.
Then, the pair was spotted holding hands on Feb. 1 as they left famed music and comedy venue Largo at the Coronet in West Hollywood, California, after Davidson’s stand-up show.
Though they left the venue hand-in-hand and headed back to Davidson’s Santa Monica hotel together, a source close to Beckinsale said her relationship with Davidson is not likely to go any further.
“Kate’s not looking to get serious with someone,” the source told PEOPLE.