"'We had a devastating weekend as Tana has sadly miscarried our son at five months," wrote the 49-year-old.
"We're together healing as a family, but we want to thank everyone again for all your amazing support and well wishes."
Gordon and Tana have four children, daughters Megan, 17, Holly, 16, and Matilda, 14, and son Jack, 16.
Tana's pregnancy was announced by Gordon on The Late Late Show last month.
Talking to host James Corden about his family he paused before making the announcement: "We have three girls and a boy ... and one more on the way."
Corden responded by jumping up and hugging the US Masterchef star who continued: "I'm nervous. I'm just worried, obviously I'd be happy with another girl but four girls... four weddings... four Sweet 16s... four boyfriends."
Asked about how his wife was doing, Gordon replied, "[She's] excited, she's doing well, she's all good thank you."
Gordon and Tana have been married since 1996 and describe their family as a "team".
In a recent interview with The Telegraph, fitness fan Tana discussed how important family is to the couple.
"For both of us it's always been about family. People have this impression of Gordon that isn't the man I'm married to.
"He loves being surrounded by the kids and their friends. He can be strict but he can be very soft. That is who he is."
