Winx had been in foal to super sire I Am Invincible.
The Kepitis, Tighe and Treweeke families said in a statement it was a traumatic time for all involved.
"There are so many people involved in the Winx story from owners, staff past and present to her many fans around the world. Our thoughts and attention at the moment are on Winx ensuring that she remains healthy, as anyone in this situation would respect."
"It is a traumatic time for a mother and those involved and Winx is now the centre of our attention following the loss of a beautiful filly this morning."
"We wish to thank everyone for their support and understanding, please respect the connections during this sad time and we will update you as soon as appropriate."
Winx was retired in the autumn last year after winning her 33rd successive race with victory in the Queen Elizabeth Stakes for a third time.
She made history the previous spring when completing a four-peat in the Cox Plate.