After years of trying, 10-year-old Ying Ying began to show signs of pregnancy in July and was due to give birth this week.
The pregnancy came after several attempts, both natural and artificial, at insemination.
But animal carers at Hong Kong's Ocean Park, where Ying Ying lives, announced Wednesday that she had miscarried the cub.
"Unfortunately we have sad news to share," Ocean Park vet Lee Foo Khong told reporters.
"Based on recent scans, the pregnancy is no longer viable."
"The structure was no longer distinct... It was breaking down," Lee said.
He added they had not determined the reason for the failed pregnancy.
Panda pregnancies are fragile and vets had already warned when the imminent birth was announced last week that it was possible Ying Ying could reabsorb or miscarry the foetus.
A team of specialists had been assigned to keep an eye on her around the clock and park managers had sought to protect her from noise and disturbance.
Female pandas are only interested in mating for three days a year, and have a gestation period of three to five months.
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