He will likely know that something is wrong when he sees how sad you are. He may fear that he has done something wrong, so it is important to be honest with him.

Many children find death frightening, so it's best not to tell them about it.

You should tell him, but explain to him that the baby was so special that God took it to heaven, so he doesn't need to be sad.

That's wise. There's no reason to cause him emotional distress.

That's wise.