Grammer, 55, revealed in August that he was expecting his fifth child with 29-year-old girlfriend Kayte Walsh, their first together.
However he has now said that Walsh miscarried but they felt it best to leave it some time before revealing it to the world.
In a statement to PEOPLE they said: 'We lost our unborn child about six weeks ago.
'We would like to thank all of those who expressed kindness and concern but we needed a little time to heal, time to find some solace before we publicly acknowledged our loss.'