Credit: Jackson Lee/Splash News Online; Saleem Elatab-AhmadElatab/Splash Online

Thursday's official New Moon afterparty in New York was missing two key players: Robert Pattinson and Kristen Stewart.

While their castmates Kellan Lutz, Peter Facinelli, Elisabeth Reaser, Ashley Greene, Nikki Reed (with boyfriend Paris Latsis) partied at crowded Manhattan club The Box with the likes of Fergie, Ed Westwick, Jessica Szohr and Olivia Palermo, Pattinson and Stewart bailed for a more private night out.

"Rob and Kristen got wind of the scene at The Box from everybody else," a source tells Usmagazine.com. "They decided not to go. They were burnt out from all the media."

Instead, the couple ventured elsewhere.

First, they reunited with castmembers (including Taylor Lautner) at a more intimate, no-press gathering at members-only club Soho House. Pattinson (wearing a baseball cap) and Stewart (in tight jeans and a leather jacket) took "turns in the smoking room," an eyewitness says.

Next, Stewart and Pattinson made a break for it, leaving their colleagues behind. They arrived at another club, Avenue, around 1:30 a.m. and took a table on the mezzanine -- keeping a security guard close by for "more private time" a source says.

Among the small group joining the couple at Avenue was rocker Joan Jett (who Stewart portrays in the film The Runaways). Pattinson -- who is also a musician -- was particularly fond of Avenue's rock-heavy playlist spun by DJ Mike Nouveau. "Robert kind of sang along to the words in the songs he knew," including "Common People" by Pulp, an observer tells Us.

Adds another eyewitness of Pattinson and Stewart: "They sat very close to each other [and] looked very happy together. They chatted together the entire time." When the pair left around 3am, "they were holding hands," an eyewitness says.

It's their second night in a row savoring the Big Apple together.

On Wednesday, following talk show appearances, the pair joined a large group at downtown eatery Gemma. "They were giggling a lot, and sitting very close," an eyewitness tells Us, adding that Pattinson switched places "so he could sit next to Kristen."

New Moon premieres worldwide today. Despite poor reviews, the Twilight sequel has already set box office history, breaking all records for midnight runs with an estimated $26.3 million.