The ceremony, which took place Saturday at St. Martin of Tours Catholic Church, was attended by the 36-year-old's family.
Police are investigating the cause of Sage Stallone's July 13 death when his maid discovered his body in his apartment, The Hollywood Reporter reported. No suicide note was found.
Sasha Czack, Sage Stallone's mother, has speculated the death may have been caused by prescription drugs her son was given following oral surgery, THR reported. Police said toxicology reports could take up to six weeks to come back.
Sage Stallone had appeared in "Rocky V" and "Daylight" with his father.
The elder Stallone released a statement asking for privacy as the family mourns the death.
"This agonizing loss will be felt for the rest of our lives," the action star said. "Sage is our first child and the center of our universe and I am humbly begging for all to have my son's memory and soul left in peace."