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.
The club has previously claimed their training pitch had been damaged by shelling as well.
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.
