The former reality TV star shared that at the 12-week scan it was found the baby had no heartbeat.
Posting a black and white picture of her legs resting against a hospital bed, the 31-year-old announced the news.
“The last time I was in this hospital I was having Cree, but this time it was because our baby had no heartbeat in our 12-week scan and I had to have surgery,” the post began.
“We were so excited and planning a space for our new baby in our family, we just couldn’t wait to share our news with you all, but unfortunately sometimes life just doesn’t go as we plan.”
“So much to say, but somehow I can’t find the words,” she continued.
“Absolutely devastated and heartbroken …but couldn’t be more grateful for the hugs I got from my big(er) babies coming through the door when we arrived home.”
Comforting Kate following the heartbreak, friends and followers flocked to her Instagram comments to share their support.
“So sorry for your loss,” wrote fellow WAG Danielle Lloyd.
“I'm so sorry babe,” added Vicky Pattison.
Meanwhile, Love Island star Molly Mae Hague commented: “I’m so beyond sorry Kate. Sending you all the (sic) in the world.”
“Oh, Kate. I’m so deeply sorry for you and your lovely family. Sending you so much love and hugs,” Big Brother star Kate Lawler added.
Kate and Rio, who wed in 2019, already have one son together, Cree, aged one.
The football star began dating the Only Way Is Essex star in early 2017.
Rio has three other children with his first wife Rebecca Ellison who died of breast cancer in 2015 aged just 34.
It comes just weeks after Kate said that she doesn’t show her step-kids faces on Instagram in a bid to give them some privacy.
"As much as I would love to show you guys how funny, talented, cute and beautiful they all are,” she shared on Instagram.
“At the moment, we think it's important, especially given everything they have been through, that they can grow up without the added pressure of social media and everyone's opinions.”
“We all make mistakes, change and grow and as kids, I think it's important to be able to do that without the world watching.”
“Although, saying all of this, when they are of a certain age it's as much their decision as it is ours… I'm sure you will be seeing them all at some stage.”
If you’ve been affected by any of the issues raised in this article, please reach out for support. Contact Féileacáin on 085 249 6464, the Miscarriage Association of Ireland on 01 873 5702 or Anam Cara on 01 4045 378.