The 59-year-old actor said the couple will be getting married again to celebrate their fifth anniversary later this week, reported E! News.
"We're getting remarried on Friday if we make it to Friday... I need reassurance. I need to know I still got you there. I need to know you're not going anywhere," Baldwin joked.
The "SNL" star tried to cover up the news of their D-Day by saying that the couple was "remodelling" their house, not remarrying.
"We're painting it all black," he added.
She added, "Once you get married, you're done. But it's really good to say, 'Hey, I'm still in this."
The couple has three children together - daughter Carmen three, sons Rafael, two and Leonardo, nine months.