Video report by ITV News Correspondent Martha Fairlie
The TV presenter had been taken to hospital suffering from excessive bleeding during her pregnancy and had reassured fans she and the baby were healthy.
Teigen, 34, has now shared the devastating news she suffered a miscarriage, writing in a statement on social media: “We are shocked and in the kind of deep pain you only hear about, the kind of pain we’ve never felt before.
“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.”
Teigen shared the news alongside a heart-breaking black-and-white picture showing her crying while sitting up in her hospital bed.
In another picture she was seen cradling the baby while Legend gently leaned in.
Teigen, who has two other children with Legend, revealed the couple have called the baby Jack.
She added: “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.”
Teigen thanked everyone for their “positive energy, thoughts and prayers” and said her family will now spend time grieving.
She said: “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 everyday 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.”
Legend, a multi-award winning singer, shared his wife’s tweet and wrote: “We love you, Jack.” He added five black heart emojis.
On Tuesday, Teigen had updated fans from hospital after being taken in on Sunday.
She shared an update while preparing to have a second blood transfusion, writing on Instagram it “truly truly truly sounds more dramatic than it is”.
She had previously said her placenta “sucks”. The couple, who are already parents to four-year-old daughter Luna and two-year-old son Miles, announced they were expecting a third child in August.
They revealed the news in the music video for Legend’s single Wild. Teigen had learned she was pregnant when she got her breast implants removed and described herself as “terrified”.
Teigen and Legend, 41, have spoken publicly about their fertility issues and their third child was the first conceived without IVF.
The couple first met on the set of the video for Legend’s song Stereo 14 years ago and married in 2013.
Following the news of the miscarriage, the couple’s celebrity friends sent messages of support.
Kim Kardashian West said: “We’re always here for you and love you guys so much.”
Gabrielle Union wrote: “We love you guys so much and we will be here for whatever yall need. Always.”
And Hailey Bieber said: “I’m so so sorry. Thinking of you and John, praying for you guys and sending you so much love during this time.”