The band, whose last album Mylo Xyloto came out in 2011, posted the track on their website after directing fans there with a message on Twitter.
Beyonce previously surprised fans when she released her self-titled album overnight last December without any prior publicity.
The song Midnight, which is heavy on electronica, is accompanied by a night vision-style video featuring the band walking through a forest.
Coldplay are to play a show at the iTunes Festival which has been added to the line-up of many gigs staged at the annual SXSW in Austin, Texas, next month.
They have not made clear when the song will be released although it has been made available to radio stations. They flagged up the new song by telling fans "Something new at 0:00 in Ulaanbaatar", then they posted the video at what would have been midnight in the Mongolian capital.
It is the first new track since the band's song Atlas for the Hunger Games: Catching Fire soundtrack.