Speaking to the Daily Express, the 'Charlie Brown' singer recalled his disbelief when the US president made the claim.
"I met Barack Obama and he said, 'I have your songs on my iPod'. But I thought, 'I bet he says that to every popstar he meets'," he said.
"I can't get my head around the notion that the President would have any of my songs on his playlist. It's just too surreal."
The 35-year-old recently clarified comments he made about the title of his latest album Mylo Xyloto, insisting the alternative rock band do not regret the name.
> Barack Obama includes U2, Ricky Martin, Florence on Spotify playlist
Watch the music video for Coldplay's 'Charlie Brown' below: