"Marc and I are very excited that we have our first child arriving later this year," Chelsea said at the end of the event.
"And I certainly feel all the better whether it's girl or a boy that she or he will grow up in a world full of so many strong, young female leaders. So thank you for inspiring me and thank you for inspiring future generations."
Clinton added: "I just hope I will be as good a mom to my child and hopefully children as my mom was to me."
Clinton married Marc Mezvinsky in 2010.
In an October interview with Glamour, Clinton said the couple wants "to start a family."
"So we decided we were going to make 2014 the Year of the Baby," Clinton said.