Complex natural or engineered systems comprise multiple characteristic scales, multiple spatiotemporal domains, and even multiple physical closure laws. To address such challenges, we introduce an interface learning paradigm and put forth a data-driven closure approach based on memory embedding to provide physically correct boundary conditions at the interface. Our findings in solving a bi-zonal nonlinear advection-diffusion equation show the proposed approach's promise for multiphysics and multiscale systems. We also highlight that high-performance computing environments can benefit from this methodology to reduce communication costs among processing units in emerging machine learning ready heterogeneous platforms toward exascale era.