According to the Sydney Morning Herald, Cate also revealed that the latest addition to their family is due in April.
"Yes, I am," she said.
Informed of rumours that she is carrying a boy, Blanchett reportedly responded: "You know more than me. It's early days yet. It's due in April."
The actress and her writer-director husband, Andrew Upton, already have two sons: Dashiell John, 5, and Roman Robert, 3, reports People.