With the development of integrated energy system research, the role of demand side management in optimizing load distribution and reducing system economic costs can not be ignored. In this paper, the coordinated optimization of electric-pneumatic integrated energy system with integrated demand side response is discussed. Firstly, the concept of market demand elasticity is introduced to describe the demand side of power system and natural gas system in detail, and the demand substitution coefficient is put forward. The price-based load and substitution-based load are considered comprehensively, and the demand-side mathematical model is established. Then, on this basis, the synthesis is established with the objective function of minimizing the construction and maintenance costs of P2G power stations, gas turbines, storage batteries. Finally, the improved particle swarm optimization algorithm is used to solve the model. Taking the modified 9-bus power system and 7-bus natural gas system as examples, the role of the coordination optimization model in optimizing load distribution and reducing system cost is analyzed and illustrated.