at Jay-Z's NYC Nightclub
It was the first time Jay's been out in public since the birth of his daughter Blue Ivy -- though Beyonce and B.I. didn't make it out to the party.
Jay and Buffett have been friends for years -- and appeared on the cover of Forbes together back in 2010.
Sources tell us ... Warren wasn't scheduled to appear at the event, but called and asked if he could roll by ... and Jay was all about it.
We're told Buffett took a tour of the club and really enjoyed the place.
As for the Roc hand sign -- we're told Buffett noticed people throwing it up in the club, so he asked Jay what it was. Once Jay informed him ... the rapper personally instructed him how to make the hand sign ... and they threw it up together.