The Mirror reports that the band will fund noir thriller Ashes, which will be directed by their friend Mat Whitecross.
Whitecross went to university with the group and has already directed several of their music videos such as 'Christmas Lights', as well as making feature film Sex & Drugs & Rock & Roll.
Paul Viragh, who wrote the Ian Dury biopic, will also serve as scriptwriter for Ashes. Chris Martin and fellow bandmates Guy Berryman, Jonny Buckland and Will Champion will all act as executive producers for the project.
Coldplay will headline several festivals this summer, including Glastonbury, Oxegen and T In The Park.