Tana, 41, was expecting the couple's fifth child, but sadly lost the baby five months into her pregnancy.
In a statement released on Facebook, Gordon wrote, 'Hi guys, Tana and I want to thank you so much for your support over the past couple of weeks.
'We had a devastating weekend as Tana has sadly miscarried our son at five months.
'We're together healing as a family, but we want to thank everyone again for all your amazing support and well wishes. I'd especially like to send a big thank you to the amazing team at Portland Hospital for everything they've done. Gx'
Gordon and Tana are parents to Megan, 18, twins Jack and Holly, 16, and Matilda, 14.
Gordon announced the news of their fifth pregnancy on The Late Late Show with James Corden back in May. When asked by the host 'You have four teenagers, that's a lot of hormones going on, are you and Tana surviving that?' he replied, 'well, yeah, three girls and a boy and, um, one more on the way.'
Fans have sent many supportive messages in response to the news of the couple's loss.
'How heartbreaking. So very sorry for your loss. Hoping you all have much support in the coming days, weeks and months. Sending comforting and healing wishes,' one wrote, whilst another agreed, 'I am so very sorry. We have lost a son at 36 weeks and there is no pain like it. Hugs to your family from ours. Also thanks for speaking about it. This is one of those topics that makes people uncomfortable and nobody discusses much.'
Tana with her four children Megan, Jack, Holly, and Matilda
'I'm so sorry. Having miscarried two babies, I know and understand your grief. Prayers to the whole Gordon Family and for a full recovery for Tana,' a third added.
If you or someone you know has experienced a miscarriage and needs advice or support, visit miscarriageassociation.org.uk.