"I don't think any of us saw it coming. From the outside looking in, it looked like a magic couple," the Playboy founder told PEOPLE at his 84th birthday celebration at Las Vegas's Palms Casino Resort on Saturday.
He added: "I thought she found the right one."
Hefner has not spoken to McCarthy, 37, a former Playboy centerfold and 1994's Playmate of the Year, since the split, but is confident she will be fine, saying, "She's a strong person."
As for his own love life, Hefner says he's as happy as he's ever been with girlfriend Crystal Harris, 23. "It's as good a relationship as I've had in my life," he says. "It's wonderful. She's a real feet-on-the-ground lady and very sincere, and I love her."
Will we be hearing wedding bells anytime soon? "I love her enough to marry her, but we'll see," Hefner says. "I don't want to spoil the relationship, because it's very special."