The former England captain has been teammates with the Swedish striker since signing a five-month contract with Paris Saint-Germain in January.
The Sun quotes the 31-year-old as saying: "We were looking through his playlist in the dressing room, there was lots of Justin Bieber, Jonas Brothers and Selena Gomez.
"We were expecting some cool English rock bands and hip-hop. It is nice to know that even David Beckham doesn't have good taste on everything."
Beckham was sent off during PSG's win over Evian TG at the weekend.