"I want you to say it loud enough so the baby hears it," Stefani yelled to the audience during a sing-along on her song "Crash." The crowd went wild.
"This is the end of a huge chapter for me," Stefani added. A camera then cut to an audience member holding an orange, hand-lettered poster that read: "Congrats on Baby."
An emotional Stefani also talked about ending her tour, and teared up as she introduced her backup dancers, the Harajuku Girls. "I feel totally relieved; I feel so sad," she said. "I wasn't even going to go on tour, but I just had to sing my songs and have you sing them back to me one more time."
At the end of the concert, Stefani patted her stomach as she waved goodbye to the audience.
Stefani, 36 – who during her current break from No Doubt is up for five Grammys (including album of the year) for her first solo effort, Love. Angel. Music. Baby. – and Rossdale, 40, married in September 2002 in two separate ceremonies on both sides of the Atlantic.
A U.K. wedding took place at St. Paul's Church in London's Covent Garden, while another was held in Los Angeles two weeks later.
The pair's rock romance dates back to 1995, when No Doubt opened for Bush at the time of Bush's debut album, Sixteen Stone, and No Doubt's second disc, Tragic Kingdom.
Jeff Vespa / WireImage
Rossdale also has a 16-year-old daughter, Daisy Lowe, from his relationship with fashion designer Pearl Lowe. He discovered he was the father in 2004 after taking a DNA test.
His group, Bush, last released the 2001 album, Golden State, as well as a greatest hits CD. Rossdale's latest band, Institute, released its debut album earlier this year.