Was the relationship with the colleague during or before your relationship with your fiance? If it was before, I don't think you should feel guilty now. Work relationships have happened to A LOT of us out there, and though they're sometimes stressful, its not unforgivable.
Why do you feel that your fiance will be upset about the affair? Do you still have any feelings for your co-worker? I wouldn't quit my job over something like this unless its absolutely intolerable being around this person.
I've had a work relationship once that led me to desire to leave the job, which I ultimately did. In that instance, I really fell for the person and the relationship didn't work out. It made me very upset and I ultimately left... He wasn't really the reason I quit, but in retrospect I think he (on some level) provoked me to look for another job somewhere else...
I think this really depends on the circumstances of the affair and what types of negative feelings you are having i.e. regret, stress, fear, anger, confrontation, and etc... Can you elaborate a bit more?
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