The 54-year-old actress and model recently posted photos of herself on her Instagram account.
"Family is getting bigger," she wrote in a caption.
Nielsen is the mother of four adult sons (including one with ex-fiancé, former NFL player Mark Gastineau).
Nielsen married Mattia Dessi, now 39, in 2006 and said two years later that she would like to have more children.
The statuesque Nielsen became famous in "Rocky IV" and "Cobra" by the way Sylvester Stallone, whom she married in 1
The couple divorced in 1987. Stallone was her second husband.
Nielsen was also married to Kasper Winding from 1983 to 1984, from 1990 to 1992 with Sebastian Copeland and from 1993 to 2005 with Raoul Meyer.
In 2005 she appeared in the VH1 reality series "Strange Love" her relationship with rapper Flavor Flav. The couple had previously met in another VH1 reality series "The Surreal Life".
The Danish actress is just the youngest celebrity to announce pregnancy.
CNN has turned to a representative for a comment from Nielsen.