She says Law is no longer in a relationship with the woman but "intends to be a fully supportive part of the child's life."
The Daily Mirror newspaper reported Thursday that Law met the woman while filming Guy Ritchie's "Sherlock Holmes" movie in New York last year.
The 36-year-old actor has three children with ex-wife Sadie Frost.
He is currently starring in "Hamlet" on the London stage and on Broadway in October.