The Bridesmaids actress and Strokes drummer Moretti were first linked earlier this month, when they were seen together at several events in New York City.
Wiig and Moretti, who previously dated Drew Barrymore, were spotted again on Friday (December 23) as they waited to catch an LA-bound flight at JFK Airport.
An eye-witness told Page Six: "They looked good… Fab was being attentive and checking on the flight for her."
Reps for the two stars have not confirmed the report.
Bridesmaids actress Maya Rudolph recently suggested that Wiig was born to star on Saturday Night Live.
Wiig co-stars with Jon Hamm and Megan Fox in the comedy Friends with Kids, which is released in 2012.
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Watch Kristen Wiig in a clip from Saturday Night Live below (US only):