“Hey all, @thezoecole and I have news,” he captioned the clip.
“Yay another Strictly baby, hope he or she has dancing abilities like you,” one fan wrote.
Another commented: “Aww congratulations, so happy for you and your family.”
The pair are already parents to four-year-old Aurelia.
Cole is currently in the 2017 ‘Strictly’ line-up, paired with Good Morning Britain presenter Charlotte Hawkins.