Allen took to her Twitter page today and wrote: 'Thank you all for your kind messages.'
The 25-year-old was left devastated after losing her child, just two years after she miscarried another baby.
Her spokesman said: 'It is with great sadness that we have to confirm that Lily Allen and Sam Cooper have lost their baby.
'The couple ask that their privacy be respected and that they be left alone at this deeply distressing time. No further comment will be made.'
Allen, who announced her pregnancy in August after her three-month scan, was expecting the baby with her builder boyfriend Sam Cooper.