Mars is the lead singer for the band Phoenix.
Coppola directed the movies "The Virgin Suicides," "Lost in Translation" and "Marie Antoinette."
The couple are already the parents of a 3-year-old daughter named Romy.
People.com reported Wednesday that Mars confirmed the news of Coppola's second pregnancy to Chicago's WXRT radio station after a concert.
Benedict Cumberbatch's dramatic reading of R. Kelly lyrics is just what you need
Beyonce flaunts bikini body, Blue Ivy in vacation pics