BUG: Fix dtypes change using replace with nullable dtypes (#40732)

pandas/core/internals/blocks.py

@@ -870,7 +870,13 @@ def _replace_coerce(
         """
         if mask.any():
             if not regex:
-                nb = self.coerce_to_target_dtype(value)
+                if isinstance(self.values, ExtensionArray) and self._can_hold_element(
+                    value
+                ):
+                    nb = self
+                else:
+                    nb = self.coerce_to_target_dtype(value)
+
                 if nb is self and not inplace:
                     nb = nb.copy()
                 putmask_inplace(nb.values, mask, value)

pandas/tests/frame/methods/test_replace.py

@@ -1681,3 +1681,39 @@ def test_replace_bytes(self, frame_or_series):
         expected = obj.copy()
         obj = obj.replace({None: np.nan})
         tm.assert_equal(obj, expected)
+
+    @pytest.mark.parametrize(
+        "data, to_replace, value, expected, dtype",
+        [
+            (
+                [1.0, 2.0, 3.999, 4.4],
+                1.0,
+                9,
+                [9.0, 2.0, 3.999, 4.4],
+                "Float64",
+            ),
+            (
+                [1.0, 2.0, 3.999, 4.4],
+                1.0,
+                9.0,
+                [9.0, 2.0, 3.999, 4.4],
+                "Float64",
+            ),
+            ([1, 2, 3, 4], 1, 9, [9, 2, 3, 4], "Int64"),
+            ([1, 2, 3, 4], 1, 9.0, [9, 2, 3, 4], "Int64"),
+            (["a", None, "b"], "a", "1", ["1", None, "b"], "string"),
+            ([None, False, True], True, False, [None, False, False], "boolean"),
+        ],
+    )
+    def test_replace_with_nullable_arrays(
+        self, frame_or_series, data, to_replace, value, expected, dtype
+    ):
+        # GH40732
+        obj = frame_or_series(data, dtype=dtype)
+        expected = frame_or_series(expected, dtype=dtype)
+
+        result = obj.replace(to_replace, value)
+        tm.assert_equal(result, expected)
+
+        result = obj.replace({to_replace: value})
+        tm.assert_equal(result, expected)