Ms Sturgeon, 46, who has no children, revealed that she had a miscarriage while she was deputy first minister.
She said she hoped allowing the details to be written about in a new book would challenge assumptions made about women.
"Sometimes... having a baby just doesn't happen - no matter how much we might want it to," she added.
In the book, Scottish National Party Leaders, Ms Sturgeon spoke about how she lost the baby when she was 40, shortly before the 2011 Scottish parliamentary election campaign period.
Ms Sturgeon, who is married to SNP chief executive Peter Murrell, was in the early stages of her pregnancy and preparing to share the news when the miscarriage occurred.
She told author Mandy Rhodes that instead of dealing with her grief at home on 3 January 2011 she attended the 40th anniversary of the Ibrox disaster, in which 66 Rangers football supporters were crushed to death.
In a statement released following the publication of extracts from the book in the Sunday Times magazine, the first minister said: "This was obviously a painful experience for Peter and I and while Mandy has known about it for some time, she has always respected our decision not to talk about it publicly.
"I gave her the go ahead to make reference to it now in the hope that it might challenge some of the assumptions and judgements that are still made about women - especially in politics - who don't have children.
"There are many reasons why women don't have children. Some of us simply don't want to, some of us worry about the impact on our career - and there is still so much to do, through better childcare, more progressive working practices and more enlightened attitudes, to make sure we don't feel we have to choose.
"And sometimes, for whatever reason, having a baby just doesn't happen - no matter how much we might want it to.
She added: "For me, as for many women, all of these things have been true at different times of my life - the point is that judgements and assumptions shouldn't be made about what are personal choices and experiences."
On Sunday morning, Ms Sturgeon also tweeted: "Thanks for all your kind messages this morning. @PeterMurrell & I really appreciate it."
In extracts from the book in The Sunday Times Magazine, Ms Sturgeon said she was uncertain if she could have been a mother as well as leading Scotland's devolved government.
She said: "If the miscarriage hadn't happened, would I be sitting here as first minister right now? It's just an unanswerable question. I just don't know.
"I've thought about it but I don't know the answer. I'd like to think 'yes', because I could have shown that having a child wasn't a barrier to all of this, but in truth I don't know."
Miscarriage
Source: NHS Choices

The hosts went in front when Tyrone Barnett stabbed in as the Blades appealed in vain that goalkeeper George Long had control of the ball.
Dean Hammond headed an equaliser but David Worrall drilled home to re-establish the Shrimpers' lead.
Jack Payne sealed the victory with a dinked finish just seconds after Che Adams hit a post for the away side.
Southend climb to eighth, six points adrift of the play-off places, while Sheffield United slip to 13th.
Scotland's First Minister Nicola Sturgeon has spoken for the first time about her "painful experience" of losing a baby in 2011.
[NEXT_CONCEPT]
Southend United gave their fading League One play-off hopes a boost with a home victory over Sheffield United.