Tea Leoni and Tim Daly Are 'Really Good Together,' 'Madam Secretary' Costar Says

Tea Leoni and Tim Daly made their stunning public debut as a couple at the White House Correspondents' Dinner last week, and even the cast of their hit CBS show Madam Secretary say their romance came as a surprise.

"I heard a rumor about it and everyone was like, 'no, no way!' And I'm like, 'maybe ' " Geoffrey Arend, who plays a staffer on Leoni's character's team, told PEOPLE on Tuesday at a special New York screening of Marvel's Avengers: Age of Ultron presented by Cinema Society and Audi.

Arend, who in a twist was having his own fictional secret relationship onscreen with co-star Patina Miller, added of the real-life pair, "Nobody really knew. You don't want to go to your boss and be like, 'Hey, so who are you dating?' So now I think we're all really protective."

The actor, who's married to Mad Men actress Christina Hendricks, approves of the coupling.

"He couldn't be a nicer guy," he said. "Tim's the best – they're really good together."

When PEOPLE pointed out that Leoni, 49 and Daly, 59 have sizzling chemistry on-screen, which might mean it's not a stretch for fans to have imagined an off-screen romance all along, he laughed.

"It's like, 'They're actually really kissing!' I felt that way sometimes," Arend said.

As for the show being renewed for another season, "I'm excited," Arend said. "We've got our season finale coming up this week. … We're gonna conclude the whole Vincent Marsh storyline. It's been hanging over everyone's head like a dark cloud."

But he wouldn't spill all the details on the finale.

It's really cool. I think everybody's gonna really dig it," he teased. "I can't tell you why!"