The exposure and consumption of information during epidemic outbreaks may alter risk perception, trigger behavioural changes, and ultimately affect the evolution of the disease. It is thus of the uttermost importance to map information dissemination by mainstream media outlets and public response. However, our understanding of this exposure-response dynamic during COVID-19 pandemic is still limited. In this paper, we provide a characterization of media coverage and online collective attention to COVID-19 pandemic in four countries: Italy, United Kingdom, United States, and Canada. For this purpose, we collect an heterogeneous dataset including 227,768 online news articles and 13,448 Youtube videos published by mainstream media, 107,898 users posts and 3,829,309 comments on the social media platform Reddit, and 278,456,892 views to COVID-19 related Wikipedia pages. Our results show that public attention, quantified as users activity on Reddit and active searches on Wikipedia pages, is mainly driven by media coverage and declines rapidly, while news exposure and COVID-19 incidence remain high. Furthermore, by using an unsupervised, dynamical topic modeling approach, we show that while the attention dedicated to different topics by media and online users are in good accordance, interesting deviations emerge in their temporal patterns. Overall, our findings offer an additional key to interpret public perception/response to the current global health emergency and raise questions about the effects of attention saturation on collective awareness, risk perception and thus on tendencies towards behavioural changes.