The same kind of suggestion if anyone came to me and told me that they're pregnant?
Ask them how they feel, what they want to do, listen to them, help them weigh their options, encourage them to search advice and information from friends, family, doctors, etc. and then help them deal with the aftermath of whatever decision they make.
I'm their coach, but above any other relationship I have with them, I am a person this student sees as someone they can confide in, someone they think they can trust, and it is my responsibility to honour that trust and confidence.
If you do nothing and put it all on them, tell them to deal with it themselves, you are still to blame for whatever decision they make, you know that? Do you understand that doing nothing is in fact doing something and you are indeed influencing the outcome of a situation by making the choice to not get involved?
Gabi didn't complain about that, she didn't tell them until after she had an abortion. She criticised how her coaches and Guillaume treated her in the aftermath of the decision she made. When she was in the height of her suicidal depression, they would get angry at her for struggling mentally and told her "to deal with it". Maybe don't do that? Because a person who is suicidal might take that a different way and the next time you see them might be in a casket.