Sienna feels Lo as Jamie fails to show

The 25-year-old actress was snubbed by her new man Jamie Burke at the premiere of her new movie before finding out that ex-fiancé Jude Law has been getting cosy with Lindsay Lohan in New York.

Sienna sneaked out of the afterparty for The Factory Girl to go to Paper nightclub in Regent Street. There, she and Rhys, 38, drank Dom Perignon vintage champagne until 5am.

• Video: Clip from Factory Girl

Sienna arrives in Leicester Square this evening

She was down in the dumps after model Jamie failed to turn up at the premiere of The Factory Girl in Leicester Square.

We're told Sienna's man of the moment, who's dated Lindsay and Kate Moss in the past, is actually in London at the moment.

Questions were raised as to where he was last night, but when we asked Sienna she said: "Don't be so cheeky. I'm not telling you."

But that wasn't all. In a second blow, we can reveal the actress got news before the event that her ex, Jude, has been out partying in New York with Lindsay Lohan.

The pair hit New York hotspot The Box last Friday and spent two hours in deep conversation.

Our source said: "They looked very cosy and left together at about 5.30am with friends."

Lindsay, who has just come out of rehab, has made no secret of the fact she's been dying to get her claws into Sienna's ex.

After his affair with the nanny, Lindsay famously said it wouldn't be long before Sienna ditched him and she wouldn't mind being around to pick up the pieces.

Last night, Sienna decided to snub the movie's after-party and instead drown her sorrows in a VIP booth at Paper. Our spy said: "She arrived late - and sober - at the official after-party at Asia de Cuba, St Martin's Lane, before sliding out a side door.

"She tricked fans and paparazzi by telling them she would be going to Boujis, but failed to arrive. She also fooled hangers-on by telling them she would be going to Mayfair's Funky Buddha, but didn't turn up there either.

"She ended up getting a VIP room at Paper, and her and Rhys were drinking Dom Perignon until dawn. It was a heavy session and they spent quite a few bob."

Earlier, at the premiere, The Factory Girl director George Hickenlooper told the Eye she was a "disgusting eater".

He said: "She'd eat chocolate and French fries every day. I'd ask her, 'What are you doing?' But she'd tell me to bugger off."

But it didn't make any difference to her stunning figure, which she flaunted on the shocking pink carpet accompanied by sister Savannah.