Explosions near the stadium damaged the North-East corner of the 52,000-seat stadium which is home to Shakhtar.
The shelling came despite a ceasefire being agreed between government forces from Ukraine and pro-Russian separatists.
Donetsk is said to be a base for large numbers of separatists and the stadium was also hit by two explosions last month.
A brief statement on Shakhtar's official website read: "On September 19, at 12:35pm (local time) two explosions were heard in the close vicinity of Donbass Arena.
"The North-Eastern part of the stadium facade was damaged by shrapnel.
"Donbass Arena staff was timely evacuated to a safe place. None of them was hurt."
Shakhtar – who kicked off their UEFA Champions League campaign with a 0-0 draw at Athletic Bilbao on Wednesday – have moved their home matches from Donetsk to Kiev in response to the conflict.
