The singer was devastated earlier this week but she took to her Twitter page to let her two million followers know she is doing OK.
"I'm still very sick but the messages are helping me to be stronger. Thank you x x," the Sun quoted her as writing on Twitter. The tweet was Allen's first public message since her heartbreaking request to friends and fans from the hospital, asking them to say a little prayer.
Allen, who announced her pregnancy in August after her three-month scan, was expecting the baby with her builder boyfriend Sam Cooper.
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," the spokesman added.