The couple shared the devastating news, which comes after Teigen, 34, was admitted to hospital earlier this week complaining of continuous bleeding, on Instagram.
The emotional post said of the “deep pain” they were feeling, and how they had already called the baby “Jack”.
Kim Kardashian, who is good friends with the pair, sent her love to the couple, commenting on the post: “We’re always here for you and love you guys so much.”
Paris Hilton added: “My heart breaks for you and John. I am so sorry for your loss. Sending you and your family so much love. Love you beautiful.”
Model Hailey Bieber commented: “I’m so so sorry. Thinking of you and John, praying for you guys and sending you so much love during this time.”
Actor Channing Tatum said: “Sending so much love to you right now,” while Breaking Bad star Aaron Paul wrote: “I love you.”
The most-liked comment on the heartbreaking post was from a fan called Joe Fahed, who said: “In Lebanese culture, we believe babies like Jack are angels that God selectively chooses to watch over you. Sending you light.”
His comment was seen by Amanda Holden, who gave birth via caesarean to a stillborn son, Theo, in 2011.
Replying to the post, she said: “This is how I deal with my loss.”
Actress Alyssa Milano thanked Teigen for her raw, unfiltered honesty, writing: “Thank you for sharing this. I’m sending you all the love and strength. I’m so sorry.”
Selling Sunset star Mary Fitzgerald, who has also lost a child, wrote: “I’m so sorry for your loss Chrissy! I know first hand how difficult this is to go through.
“Wishing you all the strength in the world for you and your beautiful family to get through this together.”
Teigen was admitted to hospital earlier this week, and had seemed in good spirits, reassuring her followers on social media that the baby was in good health.
“We are shocked and in the kind of deep pain you only hear about, the kind of pain we’ve never felt before,” she has since written. “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 pair, who share Luna, 4, and two-year-old Miles, added they had decided to call the baby Jack while Teigen was expecting.
“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,” Teigen added. “We will always love you.”