However, the gig in New Delhi will be held as scheduled.
"Delhi is on tomorrow. Stay tuned for more information and our thoughts are with you all," the message read further.
The band, consisting of trio Axwell, Steve Angello and Sebastian Ingrosso, are in Mumbai as part of their One Last Tour.
Two other events - one involving megastar Amitabh Bachchan, and another with Aamir Khan - in the city on Saturday evening have also been cancelled following the newsbreak.