The new arrival, due in the spring, will be a brother for the couple's three-year-old son Kai.
Coleen, who has her own fashion range and recently launched a homeware collection, said they decided to find out the sex of the baby at a scan.
Announcing the news on her @ColeenRoo Twitter account, she said: "Absolutely loved seeing our baby on the scan yesterday!!! We decided to find out the sex... It's a ... BOY!! So exciting @WayneRooney."
Coleen, 26, has almost 900,000 followers on the social network while her England striker husband, 27, has more than 5.5 million.
There was no immediate reaction to today's news from the footballer, who last Tweeted yesterday to inform his fans he had been to visit the children's ward at Manchester's Christie Hospital.
He said: "Been to see the kids in Christies hospital today. So nice to put a smile on their faces before Christmas. A very moving experience."
The couple, both from Liverpool, married in June 2008.