She made the mock admission in a bid to grab headlines after being told that any news about her affects the US stock market.
Chat show host George Lopez told her that stock for American conglomerate holding company Berkshire Hathaway rises every time stories about her pop up online.
'So if we clap loudly maybe we can get Anne to put us out of our national debt!' he exclaimed.
'Ok so let's make some news!' said Hathaway, 28, whipping on the disguise.
'I'm pregnant!' she joked, adding, 'I'm actually a man! Ok what other news can we come up with, this is fun!'
The movie star appeared on Thursday's Lopez Tonight wearing a long, black gown, and sky-high stilettos to promote her new flick Rio.