I am totally baffled about why you are "confused". He couldn't have been any more obvious about what he meant. It does sound like you are in denial. You need to tell your fiancé because now his GF knows and it will only be a matter of time before your fiancé gets wind of it. Then he'll wonder why you weren't the one who told him. Also, he needs to know that his "good friend" tried to sleep with his fiancé and that he can no longer trust him.