Speaking on the trauma Celina said: "It's all just so difficult to deal with... I've been trying to keep it together since papa passed away." Her father passed away two months ago.
"After all that we have been through, all I can say is we have immense gratitude that the universe didn't leave our arms empty. It's just too painful to talk about," she said.
Celina had announced on September 30, the "bittersweet" arrival of her second set of twins, but shared with a heavy heart that one of the two sons succumbed to a serious heart condition.
READ: Celina Jaitly shares a good and bad news after her pregnancy.
The actress gave birth to Arthur Jaitly Haag and Shamsher Jaitly Haag in Dubai on September 10.
"However, life is not always how we plan it to be. Our son Shamsher Jaitly Haag... could not continue his journey in this world," her social media post had said.
Celina's only solace is the thought that her father and little son were "now united".
"I only wish Dad and Shamsher would send a sign. It's been a challenging last two months.
"Arthur is the light at the end of our dark tunnel. It's difficult to talk about Shamsher but I want to thank everyone for the joy they shared for Arthur and the sorrow they expressed for Shamsher.
"I hope pain one day turns into beautiful memories... till then please bless my family."
The 35-year-old actress, who is married to hotelier Peter Haag, has five-year-old twin sons, Winston and Viraaj.
A former beauty queen and model, Celina won the Miss India in 2001 and was the 4th runner-up at Miss Universe 2001.