Sage, whose full name was Sage Moonblood Stallone, was 36 years old.
An actor, director and producer, Sage appeared in the fifth installment of Sly's biggest film franchise, Rocky, where he played the title character's on-screen son, Robert Balboa.
Most recently, Sage appeared in a 2010 movie called Promises Written In Water and a short titled The Agent.
His short-lived marriage to Starlin Wright in May 2007 was annulled after just 10 months.
Stallone's rep, Michelle Bega, released a statement, "Sylvester Stallone is devastated and grief-stricken over the sudden loss of his son Sage Stallone. His compassion and thoughts are with Sage's mother, Sasha. Sage was a very talented and wonderful young man. His loss will be felt forever."