"We were never able to stop the bleeding and give our baby the fluids he needed, despite bags and bags of blood transfusions. It just wasn’t enough."
The star went on to say that despite the heartbreaking news, she and husband John Legend had named their unborn child Jack.
She wrote: "We never decide on our babies’ names until the last possible moment after they’re born, just before we leave the hospital.
"But we, for some reason, had started to call this little guy in my belly Jack. So he will always be Jack to us. Jack worked so hard to be a part of our little family, and he will be, forever.
"To our Jack - I’m so sorry that the first few moments of your life were met with so many complications, that we couldn’t give you the home you needed to survive. We will always love you."
Chrissy concluded by giving thanks to everyone who reached out to share their messages, writing: "We feel all of your love and truly appreciate you."
She added: "We are so grateful for the life we have, for our wonderful babies Luna and Miles, for all the amazing things we’ve been able to experience.
"But every day can’t be full of sunshine. On this darkest of days, we will grieve, we will cry our eyes out. But we will hug and love each other harder and get through it," she wrote.
Chrissy and John, who married in 2013, share a daughter, Luna, who was born in April 2016, and a son, Miles, who was born in May 2018.