Olsen, 28, and Sarkozy, 45, hit up the Breast Cancer Research Foundation's third annual Paddle & Party for Pink benefit in North Haven, New York, Saturday night, which raised $1.5 milliion.
"Olivier was very, very publicly affectionate with Mary-Kate – very playful," a fellow partygoer tells PEOPLE. "They were kissing [and] touching. They just seemed happy to be together in this beautiful environment."
At the party – held at designer Lisa Perry and husband Richard's sprawling bay-side home – Olsen sipped on champagne and stuck close to her fiancé, as well as twin Ashley, pal (and the president of their label, The Row, and company Dualstar) Jill Collage, Molly Sims and husband Scott Stuber.
"They looked like they were happy to be there," the partygoers adds. "It just seemed that they were very natural together … It just kind of works. I know everybody thinks [about] the age difference, but you didn't get that sense."