Paltrow, 40, won an Oscar for her performance in "Shakespeare in Love." She and husband, Coldplay rocker Chris Martin, are the parents of a daughter, Apple, 8, and son Moses, 6.
"My children ask me to have a baby all the time. And you never know, I could squeeze one more in. I am missing my third. I'm thinking about it," Paltrow told You magazine. "But I had a really bad experience when I was pregnant with my third. It didn't work out and I nearly died. So I am like, 'Are we good here or should we go back and try again?'"
The "Bounce," "Sliding Doors" and "Iron Man" actress didn't say exactly when she lost the baby or under what circumstances.