Billo, who was presenting Sky's Italian coverage of the draw in Switzerland, was speaking to Leonardo about PSG's quarter-final pairing with Barcelona when she asked him if he had any questions for the studio panel.
The former Brazil midfielder, a former AC Milan and Inter coach, leapt on the opportunity, saying: "Anna, do you want to marry me?", surprising a clearly embarrassed Billo.
Leonardo, who already has a son with Billo, carried on while everyone in the studio laughed.
"Do you want to marry me? You have to answer me now. I'm waiting for your answer. It's not that difficult," he said.
The shocked but smiling Billo stuttered: "OK... We'll see."
While going to an ad break her microphone remained on and fanning herself with a piece of paper, Billo said: "He's gone mad."
Five years ago, then France coach Raymond Domenech made a similar move, proposing to French TV presenter Estelle Denis in a live interview minutes after Les Bleus had been eliminated in the first round of Euro 2008 with a 2-0 defeat against Italy.
Other Champions League match-ups feature Bayern Munich v Juventus, Malaga v Borussia Dortmund and Real Madrid v Galatasaray.
(Reporting by Terry Daley; Editing by Julien Pretot)