On the Rocks follows Laura (Rashida Jones), a wife and mother who begins to suspect her husband, Dean (Wayans), of having an affair. Her father, Felix (Murray), encourages her to spy on her husband.
On Ellen, Wayans described On the Rocks as "a really sweet" movie.
"They go on this caper to find out whether he's cheating or not," he said of Jones and Murray's characters.
Wayans said Murray was "a lot of fun" while filming.
"He's like a 70 year old kid. You want to spank him but you don't want to pull his pants down and see his ass," he jokingly said.
Wayans also said Murray was hard to reach away from set.
"He's like [Dave] Chappelle. He's one of those people that's like a unicorn. He's here one day, he's gone the next," the actor said.
"You're supposed to reach him by P.O. Box and P.O. Box only," he added. "So he gave me his number but I hit him and he never hits me back. So I have to P.O. Box him to tell him to message me back on my phone."
A24 released a trailer for On the Rocks in August. The movie is Coppola's first film since The Beguiled (2017) and her third project with Murray, following Lost in Translation (2003) and the Netflix holiday special A Very Murray Christmas (2015).
On Ellen, Wayans also explained to guest host Tiffany Haddish why he never cast her in one of his movies. Wayans said Haddish has "always been funny" but was sometimes over the top and "inappropriate."