In this paper, we propose a use of the group sparsity in adaptive learning of second-order Volterra filters for the nonlinear acoustic echo cancellation problem. The group sparsity indicates sparsity across the groups, i.e., a vector is separated into some groups, and most of groups only contain approximately zero-valued entries. First, we provide a theoretical evidence that the second-order Volterra systems tend to have the group sparsity under natural assumptions. Next, we propose an algorithm by applying the adaptive proximal forward-backward splitting method to a carefully designed cost function to exploit the group sparsity effectively. The designed cost function is the sum of the weighted group l₁ norm which promotes the group sparsity and a weighted sum of squared distances to data-fidelity sets used in adaptive filtering algorithms. Finally, Numerical examples show that the proposed method outperforms a sparsity-aware algorithm in both the system-mismatch and the echo return loss enhancement.