The puppy is believed to have stayed with Katie after Princess Peter Andre’s father banned her from having a dog because his wife Emily is allergic.
A source revealed that after less than a month with his owners, Rolo was found dead by Harvey’s caregiver after a “tragic accident”.
“They must have phoned Katie to break the news,” an insider told The Sun.
“Katie is devastated and heartbroken and had to call Princess and break the news. Everyone is in tears.
“It was a tragic accident that no one could have predicted – it’s no one’s fault but Katie can’t stop crying. ”
Rolo’s devastating loss is the latest in a series of tragedies Katie has endured when it comes to her beloved pets.
In the past three years, four of his animals have died prematurely.
In February, Katie’s Alsation Sparkle was killed after being hit by a car.
Before that, his dog Queenie was run over by a pizza delivery van.
The Marvin family chameleon then died of a “broken heart” and one of Katie’s horses was struck down in an accident.
At one point, Katie’s Surrey mansion was a menagerie of pets, but since her money got boring, the former glamorous model has downsized drastically to take care of just one animal – his security dog Blade.
But in June, Katie changed her mind and decided to welcome puppy Rolo to her home as a gift for her daughter Princess.
In addition to giving the puppy to the princess, Katie spared no expense in providing the animal with treats and accessories.
Last month Katie was filmed splashing money at a pet store as she packed her cart with blankets, bottles and dog perfume.
Princess said she was determined to give her pet “the best life”.
Young Peter’s father explained in his column why he turned down his daughter’s request for a pet.
The pop star wrote: “It’s the princess’s birthday at the end of the month and she said she wanted a puppy.
“It’s every daddy’s dream to have a puppy for their daughter for their 13th birthday, but Emily is so allergic to dogs that I don’t think it will be possible.
“It makes me sad that I can’t make Princess’s dream come true but I’ll make it up to you, I promise.”
To get over his daughter, Peter gave her a pet rabbit instead.