The Portuguese forward announced in October 2021 that he and his partner, Georgina Rodríguez, were expecting twins.
In a statement shared on social media on Monday, the couple said they are "devastated" at the loss of their baby boy and added that Ms Rodríguez gave birth to a girl.
In their own tribute to Ronaldo and his family, United said: "Family is more important than everything and Ronaldo is supporting his loved ones at this immensely difficult time.
"As such, we can confirm that he will not feature in the match against Liverpool at Anfield on Tuesday evening and we underline the family’s request for privacy.
"Cristiano, we are all thinking of you and sending strength to the family."
"It is the greatest pain that any parents can feel," the parents said in a joint statement on Monday.
"Only the birth of our baby girl gives us the strength to live this moment with some hope and happiness.
"We would like to thank the doctors and nurses for all their expert care and support.
"We are all devastated at this loss and we kindly ask for privacy at this very difficult time.
"Our baby boy, you are our angel. We will always love you."
It's a tragedy that's all too familiar for many families across the North West.
The football team Angels United was set up in Manchester to help bereaved parents.
Olly Monk started the team in 2019 after he and his wife lost their twins Dottie and Poppy
The team primarily helps Dad's struggling.
The baby loss charity Aching Arms today said their thoughts with the couple, and said there's no hierarchy when it comes to grief.
There has been a huge number of messages of support from across the footballing world and beyond for Ronaldo and his family.
Teammate and England international Marcus Rashford led the tributes, writing on Twitter: "Thoughts are with you and Georgina brother. I'm so sorry."
Ronaldo’s former club Real Madrid said in a statement: “Real Madrid, its president and board of directors are deeply saddened by the passing of one of the children that our dear Cristiano Ronaldo and his partner, Georgina Rodriguez, were expecting.
“Real Madrid shares in the family’s pain and wishes to send them all of our warmth.”
Manchester City, Liverpool FC, Tottenham Hotspur and Norwich City FC were some of the football clubs who also sent condolences.
If you have been affected by issues raised in this article, for more information and support, you can go to:
The Twins Trust Bereavement Support Service offers support, information and group meet ups for bereaved families with twins, triplets or more.
Child Bereavement UK provides specialised support, information and training for everyone affected when a baby or child dies, or when a child is bereaved. It also runs an online forum for bereaved parents.
Sands: The stillbirth and neonatal death charity is run by and for parents whose baby has died, either at birth or shortly afterwards.Samaritans can be visited at their website or called on 116 123 for free if you need support with any on-going mental health problem.