"I think what was harder was when you have people talking about it and leaking it out there before I'm ready to talk about it," Olivia Munn said of her pregnancy
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Olivia Munn
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Oliva Munn is opening up about what it was like when her pregnancy was revealed to the world.

On Wednesday's episode of Sirius XM's The Jess Cagle Show, the 41-year-old actress reflected on the "stress" she felt when the public found out she was expecting her first child with comedian John Mulaney.

"I think what was harder was when you have people talking about it and leaking it out there before I'm ready to talk about it," she explained. "Since I've been pregnant, I've had four different girlfriends lose their pregnancies all after the safe zone, [one at] three months, two at four months and one at five, six months."

The Violet actress continued: "I also have an autoimmune disorder and I'm 41. There are a lot of elements that come into play when you're pregnant. There's a lot of fear. You want to do everything you can to protect your baby."

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Though Munn admitted to being "super interested" when other celebrities are pregnant, she said it feels different now that it's happening to her.

"When it's happening to you, and you feel like you have no control over when you announce, or [you're thinking], 'What if something bad happens? What if I lose the baby?' Then it's already been out there that I have it before I was ready to tell that information," she said. "That was what was more difficult for me."

Earlier this month, Munn appeared on Today and told Hoda Kotb that she is both "nervous" and "excited" about giving birth to her first baby later this year.

"I feel good. I feel scared," the star said. "... I feel every day, the feelings are just kind of rotating through."

John Mulaney, Olivia Munn
John Mulaney; Olivia Munn
| Credit: Bryan Bedder/Getty; Karwai Tang/Getty

With her due date approaching, Munn said she is still trying to figure out what she needs. 

"I know this is a small thing, but just I don't know how many of each item I need," she told Kotb. "Like how many blankets does a baby need? Like, truly. I wish somebody could tell me. Or like, how many onesies? How many diapers?"

In September, Mulaney, 39, announced that he and Munn are expecting a child together during an appearance on Late Night with Seth Meyers. The couple's relationship was first reported by PEOPLE in May.

Not long after Mulaney first shared their baby news, a source told PEOPLE the couple was "extremely excited" and "couldn't be happier."

And that same month, Munn shared a pregnancy update with PEOPLE. "I've been getting a lot of rest and eating the right foods," the mom-to-be said at the time. "And my friends have been giving me some great advice. That's been keeping me sane!"