The leaf-footed bug, Leptoglossus zonatus (Heteroptera: Coreidae), is mainly found in maize fields in Brazil. In this work, we elucidated and quantified the volatile compounds from nymphs and adults of L. zonatus. The defensive compounds produced by nymphs are aldehydes and oxoalkenals, with some compounds showing different proportions between instars. For the first time, 5-ethyl-2(5H)-furanone has been identified as a defensive compound for a species of this family. In adults, the alarm pheromone includes hexanal, 1-hexanol, hexanoic acid, hexyl acetate, and octyl acetate. Males and females produce the same compounds, however, hexanal showed a significant difference between sexes. Gas chromatography (GC) analysis of adult aeration extracts revealed male specific compounds, which attactiveness to females was confirmed through olfactometer bioassays. By using a GC-electroantennographic detector (EAD), it was shown that female antenna presented electrophysiological responses to five components ((Z)-β-ocimene, (Z,Z)-allo-ocimene, decanal, α-trans-bergamotene, and (E)-β-farnesene) from male aeration extracts. In this way, we propose that males are responsible for emission of a sex pheromone in this species.