For what it's worth, I think that in that kind of situation, if the actor wants to talk about their relationship they will, but there's no point pressing them on it, especially if they've otherwise given an indication of being a private person. Plus, frankly, it's probably none of our business. I'd rather hear an actor talk about the work and process and how they do their job, which is also in the interview to some extent but with less depth once Gyllenhaal is on the defensive.
If, however, they actually want to talk about their private life then that's fine, especially if it's as fascinating as this piece about Jenny Slate who recently got out of a relationship with Chris "Captain America" Evans. On the one hand, I'm slightly concerned about the extent to which his privacy is being broken here, the details of his life which are now in the public domain. But on the other she still clearly adores him and more importantly, there's nothing in here which contradicts his public image:
"Evans and Slate met at her chemistry read — the audition in which it’s determined whether two romantic leads play well together — and they instantly got along. “I remember him saying to me, ‘You’re going to be one of my closest friends.’ I was just like, ‘Man, I fucking hope this isn’t a lie, because I’m going to be devastated if this guy isn’t my friend.’ ” The first time they went out to dinner, as co-workers getting to know each other, she remembers insisting they split the bill over Evans’s strenuous objections. “If you take away my preferences, you take away my freedom,” she says she told him. “Then I was like, Oh, man, is this dude going to be like, ‘Ugh, this bra-burner.’ Instead, he was like, ‘Tell me more.’"Of course, now he's probably going to be asked about the contents of this interview and so the feedback loop begins again.