Kelly, 42, did not reveal the new baby's gender or anticipated due date.
Asked on the air Thursday what she was getting her husband, Doug Brunt, for Valentine's Day, Kelly said they usually have trouble getting each other the ideal gifts but this year "found the perfect solution."
"Happily, Doug and I are expecting another baby," The Huffington Post quoted Kelly as saying.
Kelly married Brunt in 2008. They have a daughter, Yardley, and son, Yates.