In a social media post on Monday
signed with his partner Georgina Rodriguez, the pair said their new baby boy could not be saved.
"It is with our deepest sadness we have to announce that our baby boy has passed away," they said.
"It is the greatest pain that any parents can feel."
Ronaldo, a five-time world player of the year, rejoined Manchester United this year after spells with Real Madrid and Juventus.
Manchester United released a statement saying: "Your pain is our pain. Sending love and strength to you and the family at this time."
Ronaldo made headlines on the pitch this weekend after scoring a hat-trick to lead Manchester United to a 3-2 victory over Norwich City.