The actor said that he was "humbly begging" for privacy as the family grieve for the 36-year-old, who was found dead at his apartment in Hollywood on Friday (July 13).
"When a parent loses a child there is no greater pain," he said in a statement given to TMZ. "Therefore I am imploring people to respect my talented son's memory and feel compassion for his loving mother Sasha.
"This agonising loss will be felt for the rest of our lives. Sage was our first child and the centre of our universe and I am humbly begging for all to have my son's memory in full left in peace."
The Rocky star previously described Sage as "a very talented and wonderful young man".
An autopsy on Sage has been completed, but the results have been deferred pending toxicology tests. A cause of death is still unclear at this stage.