A measurement of the underlying event (UE) activity in proton-proton collisions at a centre-of-mass energy of 7 TeV is performed using Drell-Yan events in a data sample corresponding to an integrated luminosity of 2.2 fb⁻¹ (inverse femtobarns), collected by the CMS experiment at the LHC. The activity measured in the final state with two muons is corrected to the particle level and compared with the predictions of various Monte Carlo generators and hadronisation models. The UE activity is observed to be independent of the di-muon invariant mass in the region above 40 GeV, while a slow increase is observed with increasing transverse momentum of the di-muon system.