"The Lampard family is growing!"
He also posted an image of himself and Christine with his two daughters from his previous relationship with Elen Rivas.
The pair married in a lavish ceremony in Knightsbridge, London, in 2015, with Christine forsaking her maiden name Bleakley in favour of her husband's surname.
Christine Lampard stepped out for the first time since she announced the wonderful news that she is pregnant with her first child.
In that classic kind of anxious, nervous, sort of superstitious way, we want to get the big scan done first and then you can open up and start to tell people, because I've been really nervous.
"I'm proud I have that kind of relationship with them", she added. "The list of emotions is endless".
When asked if she had been taking numerous pregnancy tests while trying, Christine, who hosts the daytime programme, said: "No, I wasn't at all".
The broadcaster married Chelsea legend Lampard in 2015.
"If not we have the two girls, and one is about to embark on her teenage years, so that is a whole other chapter about to happen".
In 2016, Christine spoke about the idea of having children on Loose Women.
One supporter wrote: "Congratulations Christine and Frank, you're going to have a handsome baby".
"I'm clearly not 18 anymore, so we didn't know if it was going to happen".
"Purely because I have so many friends who have been through bad struggles to have little babies and you just don't know what's going on behind closed doors and what's going on in other people's lives".