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In the coded caching literature, the notion of privacy is considered only against demands. On the motivation that multi-round transmissions almost appear everywhere in real communication systems, this paper formulates the coded caching problem with private demands and caches. Only one existing private caching scheme, which is based on introducing virtual users, can preserve the privacy of demands and caches simultaneously, but at the cost of an extremely large subpacketization exponential in the product of the number of users (K) and files (N) in the system. In order to reduce the subpacketization while satisfying the privacy constraints, we propose a novel approach which constructs private coded caching schemes through private information retrieval (PIR). Based on this approach, we propose novel schemes with private demands and caches which have a subpacketization level in the order exponential with K instead of NK in the virtual user scheme. As a by-product, for the coded caching problem with private demands, a private coded caching scheme could be obtained from the proposed approach, which generally improves the memory-load tradeoff of the private coded caching scheme by Yan and Tuninetti.