The 50-year-old announced at a news conference on Saturday he had been diagnosed with cancer.
However, Mihajlovic confirmed he is to remain in charge at the club regardless.
Former Yugoslavia international Mihajlovic began receiving treatment on Thursday, with the club informing supporters the coach is in "daily" contact with his colleagues.
A statement from Bologna read: "Three days after the admission of Sinisa Mihajlovic to the haematology department of the Istituto Seragnoli of the Policlinico Sant'Orsola, the typing of the disease was concluded: it is a mainly myeloid acute leukaemia.
"Mihajlovic started the chemotherapy treatment today [Thursday]. Despite the tests and treatments, the technician is in direct daily contact with his colleagues in Castelrotto [Bologna's base]."