“It is with our deepest sadness we have to announce that our baby boy has passed away,” the Manchester United striker wrote in a post also signed by his partner, Georgina Rodriguez.
“It is the greatest pain that any parents can feel.”
Ronaldo announced last year that the couple was expecting twins.
“Only the birth of our baby girl gives us the strength to live this moment with some hope and happiness,” he wrote on the social-media post.
“We would like to thank the doctors and nurses for all their expert care and support.
“We are all devastated at this loss,” the post added, “and we kindly ask for privacy at this very difficult time.
“Our baby boy, you are our angel. We will always love you.”
Ronaldo already had four children.