The 38-year-old says she waits until the band's frontman Chris, 34, is out so she can play his albums.
The Contagion star, who has two children, Apple, seven, and five-year-old Moses, with Chris, told British newspaper The Sun: 'I listen to Coldplay around the house when my husband's not there.'
Speaking about the British rockers new record, Mylo Xyloto, released next month, Paltrow added: 'I've heard the new album, it's incredible. It's different and it's amazing. It's exciting. I'm excited for him.'