Heat olive oil in a large saucepan over medium heat. Add onion and saute until translucent, about 5 minutes.
Add carrots, broth, orange juice, ginger and lemon juice; bring to a boil. Reduce heat and simmer, covered, until carrots are tender, about 20 minutes.
Remove saucepan from heat. Puree soup with an immersion blender or food processor until very smooth. Return soup to saucepan and stir in coconut milk, salt and pepper. Reheat over medium heat until hot and serve.