"Our little stalker, cuddle buddy and sock thief.. we will miss you so much!"
Jen's tear-jerking gallery included photos of their gentle dog with her daughter, Frankie and husband, Jake.
In one shot Milly was even seen checking out Jen's growing baby bump, a tender moment the star will likely treasure for years to come.
Their sad family news comes after Jen confirmed she's pregnant with their second child, expecting their new bundle of joy to arrive later this year.
The 37-year-old model revealed that she and Jake, also 37, are expecting a baby boy just one month ago, sharing a photo of herself in a figure-hugging white dress to show off her growing baby bump.
"Round two," Jen wrote in a happy Instagram post.
"Jake and I are so happy to share that we are expecting a baby BOY!!! We both feel really blessed and couldn't be happier to grow our little family."
Baby Frankie featured in a couple of pictures with Milly, showing them nose-to-nose when the baby was younger.
While their growing family eagerly awaits the arrival of baby number two, our thoughts are with them as they say a sad goodbye to their girl Milly.
This story originally appeared on our sister site, Now to Love.